Transactionally deterministic high speed financial exchange having improved, efficiency, communication, customization, performance, access, trading opportunities, credit controls, and fault tolerance

ABSTRACT

The disclosed embodiments relate to implementation of a trading system, which may also be referred to as a trading system architecture, having improved performance which further assures transactional determinism under increasing processing transaction loads while providing improved trading opportunities, fault tolerance, low latency processing, high volume capacity, risk mitigation and market protections with minimal impact, as well as improved and equitable access to information and opportunities.

BACKGROUND

A financial instrument trading system, such as a futures exchange,referred to herein also as an “Exchange”, such as the Chicago MercantileExchange Inc. (CME), provides a contract market where financialinstruments, for example futures, options on futures and spreadcontracts, are traded among market participants, e.g. traders, brokers,etc. Futures is a term used to designate all contracts for the purchaseor sale of financial instruments or physical commodities for futuredelivery or cash settlement, and which are traded on a commodity futuresexchange. A futures contract is a standardized legally binding agreementto buy (long) or sell (short) a commodity or financial instrument at aspecified price at a predetermined future time. An option is the right,but not the obligation, to sell (put) or buy (call) the underlyinginstrument (for example, a futures contract) at a specified price withina specified time. The commodity or instrument to be delivered infulfillment of the contract, or alternatively the commodity, instrumentor reference for which the cash market price shall determine the finalsettlement price of the futures contract, is known as the contract's“underlying” reference, instrument or commodity, also referred to as the“underlier.” The terms and conditions of each futures contract arestandardized as to the specification of the contract's underlier, thequality and quantity of such underlier, delivery date, and means ofcontract settlement, i.e. physical delivery or cash settlement. CashSettlement is a method of settling a futures contract whereby theparties effect final settlement when the contract expires bypaying/receiving the pecuniary loss/gain of the contract, e.g. bycomparing the contract price to the market price or other referenceprice of the underlier at the time of settlement, related to thecontract in cash, rather than by effecting physical delivery, i.e. theactual exchange of the underlying reference or commodity at a pricedetermined by the futures contract.

Typically, the Exchange provides for centralized “clearing” by which alltrades are confirmed and matched, and open positions are settled eachday until expired (such as in the case of an option), offset ordelivered. Matching, which is a function typically performed by theExchange, is a process, for a given order which specifies a desire tobuy or sell a quantity of a particular instrument at a particular price,of seeking/identifying one or more wholly or partially, with respect toquantity, satisfying counter orders thereto, e.g. a sell counter to anorder to buy, or vice versa, for the same instrument at the same, orsometimes better, price (but not necessarily the same quantity), whichare then paired for execution to complete a trade between the respectivemarket participants (via the Exchange) and at least partially satisfythe desired quantity of one or both of the order and/or the counterorder, with any residual unsatisfied quantity left to await anothersuitable counter order, referred to as “resting.”

A “Clearing House,” which is typically an adjunct to the Exchange andmay be an operating division thereof, is responsible for settlingtrading accounts, clearing trades, collecting and maintainingperformance bond funds, regulating delivery, and reporting trading datato market regulators and to the market participants. An essential roleof the clearing house is to mitigate credit risk via the clearingprocess. Clearing is the procedure through which the Clearing Housebecomes buyer to each seller of a futures contract, and seller to eachbuyer, also referred to as a “novation,” and assumes responsibility forprotecting buyers and sellers from financial loss due to breach ofcontract, by assuring performance on each contract. A clearing member isa firm qualified to clear trades through the Clearing House.

Current financial instrument trading systems allow traders to submitorders and receive confirmations, market data, and other informationelectronically via a communications network. These “electronic”marketplaces, implemented by, and also referred to as, “electronictrading systems,” are an alternative trading forum to pit based tradingsystems whereby the traders, or their representatives, all physicallystand in a designated location, i.e. a trading pit, and trade with eachother via oral and visual/hand based communication.

In particular, electronic trading of financial instruments, such asfutures contracts, is conducted by market participants sending orders,such as to buy or sell one or more futures contracts, in electronic formto the Exchange. These electronically submitted orders to buy and sellare then matched, if possible, by the Exchange, i.e. by the Exchange'smatching engine, to execute a trade. Outstanding (unmatched, whollyunsatisfied/unfilled or partially satisfied/filled) orders aremaintained in one or more data structures or databases referred to as“order books,” such orders being referred to as “resting,” and madevisible, i.e., their availability for trading is advertised, to themarket participants through electronic notifications/broadcasts,referred to as market data feeds. An order book is typically maintainedfor each product, e.g. instrument, traded on the electronic tradingsystem and generally defines or otherwise represents the state of themarket for that product, i.e. the current prices at which the marketparticipants are willing buy or sell that product. As such, as usedherein, an order book for a product may also be referred to as a marketfor that product.

A market data feed, referred to as market data or market feed, is acompressed or uncompressed real time (with respect to market events), orsubstantial approximation thereof, data/message stream provided by theExchange directly, or via a third party intermediary. A market data feedmay be comprised of individual messages, each comprising one or morepackets or datagrams, and may carry, for example, pricing or otherinformation regarding orders placed, traded instruments and other marketinformation, such as summary values and statistical values, orcombinations thereof, and may be transmitted, e.g. multi-casted, to themarket participants using standardized protocols, such as UDP overEthernet. More than one market data feed, each, for example, carryingdifferent information, may be provided. The standard protocol that istypically utilized for the transmission of market data feeds is theFinancial Information Exchange (FIX) protocol Adapted for Streaming(FAST), aka FIX/FAST, which is used by multiple exchanges to distributetheir market data. Pricing information conveyed by the market data feedmay include the prices, or changes thereto, of resting orders, prices atwhich particular orders were recently traded, or other informationrepresentative of the state of the market or changes therein. Separate,directed/private, messages may also be transmitted directly to marketparticipants to confirm receipt of orders, cancellation of orders andotherwise provide acknowledgment or notification of matching and otherevents relevant, or otherwise privy, only to the particular marketparticipant.

As may be perceived/experienced by the market participants from outsidethe Exchange or electronic trading system operated thereby, thefollowing sequence describes how, at least in part, information may bepropagated in such a system and how orders may be processed:

-   -   (1) An opportunity is created at a matching engine of the        Exchange, such as by placing a recently received but unmatched        order on the order book to rest;    -   (2) The matching engine creates an update reflecting the        opportunity and sends it to a feed engine;    -   (3) The feed engine multicasts it to all of the market        participants to advertise the opportunity to trade;    -   (4) The market participants evaluate the opportunity and each,        upon completion of their evaluation, may or may not choose to        respond with an order responsive to the resting order, i.e.        counter to the resting order;    -   (5) The Exchange gateway receives any counter orders generated        by the market participants, sends confirmation of receipt back        directly to each submitting market participant, and forwards the        received orders to the matching engine; and    -   (6) The matching engine evaluates the received orders and        matches the first arriving order against the resting opportunity        and a trade is executed.

To gain and maintain the trust and confidence of market participants andencourage participation, electronic trading systems ideally attempt tooffer a more efficient, fair and balanced market where market pricesreflect a true consensus of the value of traded products among themarket participants, and which minimize, if not eliminate, surreptitiousor overt subversion, influence of, or manipulation by, any one or moremarket participants, intentional or otherwise, and unfair or inequitableadvantages, with respect to access to information or opportunities. Toaccomplish these goals, for example, electronic trading systems shouldoperate in a deterministic, i.e. a causal, predictable, or otherwiseexpected, manner as understood and experienced by the marketparticipants, i.e. the customers of the Exchange. Electronic tradingsystems which implement markets which are overtly or covertlyinefficient, unfair or inequitable risk not only losing the trust, alongwith the patronage, of market participants, but also increasedregulatory scrutiny as well as potential criminal and/or civilliability.

Accordingly, the operators of electronic trading systems, alone or inconjunction with, or at the direction of, regulatory or industryorganizations, typically publish or otherwise promulgate rules orregulations, referred to as business or operating rules, which governthe operation of the system. These rules define how, for example,multiple transactions are processed by the system where thosetransactions have relationships or dependencies there between which mayaffect the result of such processing. Such business rules may include,for example, order allocation rules, i.e. rules which dictate which ofmultiple competing resting orders will be matched with a particularincoming order counter thereto having insufficient quantity to fill allof the suitable resting orders. For example, under a first-in-first-outmethodology, the first order, of the competing resting orders, that wasreceived by the electronic trading system will be matched with theincoming counter-order and filled to the extent possible by theavailable quantity, with any residual quantity of the incoming counterorder then being allocated to the next received suitable competingresting order and so on until the available quantity of the incomingcounter order is exhausted. However, additional or alternativematching/allocation rules may be implemented as well, for example toensure fair and equal access, improve trading opportunities, etc., byallocating, such as proportionally, the available quantity of theincoming counter order among all, or a subset, of the competing restingorders until the available quantity is exhausted.

Once such business rules are established, or modified, marketparticipants will expect, and overseeing regulatory entities mayrequire, that the electronic trading system operate in accordancetherewith. That is, if the Exchange adopts a rule to give first arrivingorders priority over later arriving orders, a market participant whosubmits an earlier arriving order will expect their order to be filledprior to a later arriving order submitted by another market participant.It will be appreciated that these rules, by which operators of anelectronic trading system may choose to operate their system, may varyat the discretion of the operators, subject to regulatory concerns.Generally, the term “transactional determinism” may refer to theprocessing, or the appearance thereof, of orders in accordance with thedefined business rules.

In addition to efficiency, fairness and equity, electronic tradingsystems further provide significant performance improvements allowingfor rapid high volume transaction processing which benefits both theExchange and market participants. Metrics of electronic trading systemperformance include latency and throughput. Latency may be measured asthe response time of the Exchange. This can be measured in a number ofdifferent contexts: the time elapsed from when an order, or ordercancelation, is received to when a confirmation/acknowledgment ofreceipt is transmitted, from when an order is received to when anexecution notification is transmitted, or the time elapsed from when anorder is received to information about that order being disseminated inthe market data feed. Throughput may be measured as the maximum numberof orders or trades per second that the electronic trading system cansupport, i.e. receive and acknowledge, receive and match, etc.

Generally, market participants desire rapid market data updates, lowlatency/high throughput order processing, and prompt confirmations oftheir instructions to allow them to: competitively, frequently andconfidently evaluate, react to, and capitalize upon or, conversely,avoid, discrete, finite, fast moving/changing or ephemeral marketevents; leverage low return transactions via a high volume thereof;and/or otherwise coordinate, or synchronize their trading activitieswith other related concerns or activities, with less uncertainty withrespect to their order status. Higher volume capacity and transactionprocessing performance provides these benefits as well as, withoutdetrimentally affecting that capacity or performance, further improvesmarket access and market liquidity, such as by allowing forparticipation by more market participants, the provision of additionalfinancial products, and/or additional markets therefore, to meet thevarying needs of the market participants, and rapid identification ofadditional explicit and implicit intra- and inter-market tradingopportunities. The Exchange benefits, for example, from the increasedtransaction volume from which revenue is derived, e.g. via transactionfees.

Current electronic trading systems already offer significant performanceadvantages. However, increasing transaction volumes from an increasingnumber of market participants, implementation by some marketparticipants of algorithmic and/or high frequency trading methodologieswhereby high speed computers automatically monitor markets and react,usually in an overwhelming manner, to events, coupled with a continueddemand for ever-decreasing processing latencies and response times, isdriving a need for additional capacity and performance improvements tomaintain performance as experienced by each market participant and avoiddetrimental consequences, such as capacity exhaustion and inequitableaccess. For example, the increasing speed at which market participantsmay evaluate and respond to changes in market data, such as responsiveto a market event, is increasing the rate at which transactions arereceived by the electronic trading system, narrowing the time of receiptgap there between and necessitating a need for a higher degree ofdiscrimination so as to resolve the order in which those transactionsare received, upon which the deterministic operation of the electronictrading system may be based, e.g. for order allocation, etc.Furthermore, the addition, by electronic trading systems, of additionalchannels of communication in an effort to increase capacity andopportunity, along with increased bandwidth of each channel, allows formore transactions to be submitted over multiple parallel paths into thesystem. Accordingly, not only must the electronic trading systemdiscriminate among closely received incoming transactions, but mustfurther arbitrate among transactions received simultaneously, ortemporally so close together as to be considered simultaneouslyreceived, i.e. the difference in their time of receipt being to close tomeasure by the implemented discrimination mechanisms, also referred toas “substantially simultaneously”.

In addition to increased capacity and lower latency, the global natureof business has further driven a need for fault tolerance to increaseavailability and reliability of electronic trading systems. Scheduledoutages must be minimized and unscheduled outages must be eliminated.

Furthermore, to implement the Exchange's clearing function, whichmitigates the concerns of market participants relating to performance bycounter parties, protects the interests of the Exchange and otherwiseadequately manages/mitigates risk, risk management systems havingcorresponding operational efficiency and performance are needed so as toprotect the Exchange from loss while minimizing impediments to marketoperations or distractions to market participants with ancillary andunnecessary tasks. In addition, increased transaction volume may furthertranslate into greater exposure for market participants requiringgreater amounts of capital to be posted to cover losses. Accordingly,more accurate and/or tailored risk assessment may be required to ensurethat only the necessary minimum amount of capital is required to beallocated by the market participants to cover potential losses and avoidundue encumbrances on/impediments to the ability of those marketparticipants to conduct their business.

Improved speed and efficiency also, unfortunately, improves the speed atwhich problems may occur and propagate, or otherwise be exploited, suchas where the market ceases to operate as intended, i.e. the market nolonger reflects a true consensus of the value of traded products amongthe market participants. Such problems are typically, but not always,evidenced by extreme market activity such as large changes in price,whether up or down, over a short period of time or an extreme volume oftrades taking place. In particular, market participants, whether humanor electronic, may not always react in a rational manner, such as whenpresented with imperfect information, when acting in fraudulent orotherwise unethical manner, and/or due to faulty training or design. Forexample, while communications technologies may have improved, inequitiesstill exist in both access to information and access to opportunities toparticipate, which may not be due to any violations of legislative,regulatory and/or ethical rules, e.g. some traders receive informationbefore other traders because they can afford faster communicationschannels, some traders may be able to place trade orders more quicklythan others because they have faster computers. In many cases,irrational and/or exploitive trader behavior may be triggered by amarket event, such as a change in price, creating a feedback loop wherethe initial irrational reaction may then cause further market events,such as continued price drops, triggering further responses andresulting in an extreme change in the price of the traded product in ashort period of time. High speed trading exacerbates the problem asthere may be little time for traders/algorithmic trading systems, orthose overseeing them, to contemplate and temper their reactions beforesignificant losses may be incurred. Furthermore, improved communicationsamong traders facilitates exploitation of information inequities andpropagation of irrational behavior in one market to other markets astraders in those other markets react to the results of the irrationalbehavior. Market protection systems may therefore be needed to monitorand evaluate trading activity, detect illegitimate/exploitive activityand appropriately react more quickly to mitigate the spread of problems,again with out impeding legitimate market operation.

Accordingly high performance electronic trading systems need to assuretransactional determinism under increasing loads while providingimproved trading opportunities, fault tolerance, low latency processing,high volume capacity, minimal impact risk mitigation and marketprotections, as well as equitable access to information andopportunities.

BRIEF DESCRIPTION OF THE DRAWINGS

FIG. 1 depicts an illustrative electronic trading system that may beused to implement aspects of the disclosed embodiments.

FIG. 2 a block diagram of an exemplary implementation of the system ofFIG. 1 according to one embodiment.

FIG. 3 depicts a flow chart showing operation of the system of FIG. 1according to one embodiment.

FIG. 4 depicts a block diagram of an exemplary system for reproducing astate of an electronic market place for use with the system of FIG. 1according to one embodiment.

FIG. 5 depicts a flow chart showing operation of the system of FIG. 4according to one embodiment.

FIG. 6 depicts block diagram of a system for customized market data foruse with the system of FIG. 1 according to one embodiment.

FIG. 7 depicts a more detailed block diagram of the marketdata/analytics generator and customization component of FIG. 6 accordingto one embodiment.

FIG. 8 depicts a flow chart showing operation of the system of FIGS. 6and 7 according to one embodiment.

FIG. 9 depicts a block diagram of a system for managing communicationsof financial data messages for use with the system of FIG. 1 accordingto one embodiment.

FIG. 10 depicts a flow chart showing operation of the system of FIG. 9according to one embodiment.

FIG. 11 depicts a block diagram of a system for improving the efficiencyof the electronic trading system of FIG. 1 according to one embodiment.

FIG. 12 depicts a block diagram of a system for improving the efficiencyof the electronic trading system of FIG. 1 according to anotherembodiment.

FIG. 13 depicts a more detailed block diagram of an implicator for usewith the system shown in FIGS. 11 and 12 according to one embodiment.

FIG. 14 depicts a flow chart showing operation of the system of FIGS. 11and 12 according to one embodiment.

FIG. 15 depicts a block diagram of a system for improving marketliquidity for use with the system of FIG. 1 according to one embodiment.

FIG. 16 depicts a block diagram of a system for improving the efficiencyof the electronic trading system for use with the system of FIG. 15according to one embodiment.

FIG. 17 depicts a flow chart showing operation of the system of FIGS. 15and 16 according to one embodiment.

FIG. 18 depicts a block diagram of a system for protecting a marketimplemented by the system of FIG. 1 according to one embodiment.

FIG. 19 depicts a block diagram of a system for protecting a marketimplemented by the system of FIG. 1 according to another embodiment.

FIG. 20 depicts a more detailed block diagram of a system for protectinga market implemented by the system of FIG. 1 for use with the system ofFIGS. 18 and 19 according to one embodiment.

FIG. 21 depicts a flow chart showing operation of the system of FIGS.18, 19 and 20 according to one embodiment.

FIG. 22 depicts a block diagram of a system for improving the efficiencyof an electronic trading system as shown in FIG. 1 according to oneembodiment.

FIG. 23 depicts a more detailed block diagram of a system for improvingthe efficiency of an electronic trading system as shown in FIG. 1according to one embodiment.

FIG. 24 depicts a flow chart showing operation of the system of FIGS. 22and 23 according to one embodiment

FIG. 25 shows an illustrative embodiment of a general computer systemfor use with the system of FIGS. 1-24.

DETAILED DESCRIPTION

The disclosed embodiments relate to implementation of a trading system,which may also be referred to as a trading system architecture, havingimproved performance and which further assures transactional determinismunder increasing processing transaction loads while providing improvedtrading opportunities, fault tolerance, low latency processing, highvolume capacity, risk mitigation and market protections with minimalimpact, as well as improved and equitable access to information andopportunities.

Underpinning the provisioning of these features is a need to improvetransaction processing performance while also improving the volume oftransactions which can be processed by the electronic trading system.Electronic trading systems, as will be described, are implemented usingcomputer technology, e.g. processors, memories, electroniccommunications networks, and the like. As used herein, the terms“microprocessor” or “general-purpose processor” (“GPP”) may refer to ahardware device that fetches instructions and data from a memory orstorage device and executes those instructions (for example, an IntelXeon processor or an AMD Opteron processor) to then, for example,process the data in accordance therewith. The term “reconfigurablelogic” may refer to any logic technology whose form and function can besignificantly altered (i.e., reconfigured) in the field post-manufactureas opposed to a microprocessor, whose function can changepost-manufacture, e.g. via computer executable software code, but whoseform, e.g. the arrangement/layout and interconnection of logicalstructures, is fixed at manufacture. The term “software” will refer todata processing functionality that is deployed on a GPP. The term“firmware” will refer to data processing functionality that is deployedon reconfigurable logic. One example of a reconfigurable logic is afield programmable gate array (“FPGA”) which is a reconfigurableintegrated circuit. An FPGA may contain programmable logic componentscalled “logic blocks”, and a hierarchy of reconfigurable interconnectsthat allow the blocks to be “wired together”—somewhat like many(changeable) logic gates that can be inter-wired in (many) differentconfigurations. Logic blocks may be configured to perform complexcombinatorial functions, or merely simple logic gates like AND, OR, NOTand XOR. An FPGA may further include memory elements, which may besimple flip-flops or more complete blocks of memory

To improve performance and volume, merely implementing existing systemsusing newer and faster general purpose technology may be insufficient.General purpose processors, operating systems and compilers implementgeneral optimizations and operations designed to improve performance andreliability while maintaining broad applicability across a wide varietyof applications. As such, these optimizations are not necessarilyoptimized for any one application, e.g. such as for implementing a matchengine of an electronic trading system. These optimizations, which arelargely defined by the manufacturer and may be out of the control of anapplication developer, may include interrupt handling algorithms,algorithms to improve multitasking, memory management algorithms,pre-fetching, branch prediction, program code optimizations, etc.However, such optimizations may, in fact, undermine the application forwhich the general purpose processor is being used. In particular, withrespect to the business transactions processed by an electronic tradingsystem, where transactional determinism is paramount, underlyingoptimizations may be disruptive thereof.

As described above, as used herein a business transaction may be definedas one or more operations or acts which are undertaken according to oneor more associated business rules (including industry, legal orregulatory requirements or customs) to accomplish a business orcommercial purpose, which may include compliance with industry,regulatory or legal requirements. A business transaction may beimplemented by one or more computer processing and/or databaseoperations/program steps, which themselves may be referred to astransactions. Business transactions, as defined by the associatedbusiness rules, may be characterized as deterministic in that they becharacterized by an interdependency or relationship which affects theirresult, such as a dependency on the order in which they are processed,such as a temporal order, and/or a dependency on real time processing,as defined by business rules, so as to effect the business/commercialpurpose and/or meet participant expectations, referred to herein as“transactional determinism.” Generally, a set of deterministictransactions will provide a particular result when executed in one orderand a different result when executed in a different order. In someapplications, deterministic processing may be preferred/prioritized overreal time processing.

For example wherein the business rules define a first-in-first-out(“FIFO”) process for matching offers with counter-offers to effect anexchange or trade, when an offer transaction is received to which noprior counter offer transaction has been previously received, it shouldbe matched with the next suitable counter offer transaction receivedrather than a later received counter offer transactions. It will beappreciated that the processing of a given transaction may involvedelaying further processing of that transaction in favor of a laterreceived transaction, such as dependent upon conditions specified by theearlier transaction and/or the defined business rules. It will furtherbe appreciated that, at a minimum, any representation of the currentstate of a business environment, e.g. market, or changes thereto, inwhich the business transactions are transacted should present anaccurate reflection of the actual state or state change in accordancewith the defined business rules, so as to not mislead participants orprovide an unfair advantage. In the disclosed embodiments, the phrase“financial transaction” will refer to a business transaction involvingthe purchase or sale of financial instruments, such as futures contractsor options thereon, spread or other combination contracts and the like,as will be described. As was described above, electronic trading systemsgenerally define their business rules and then must ensure transactionaldeterminism in compliance therewith.

Generally, when the rate of business transaction processing is less thanthe underlying instructions processing capacity of the underlyinggeneral purpose processor, general performance optimizations implementedby the processor or operating system may be hidden or otherwiseimperceptible at the transactional level. That is, the processor is ableto perform these optimizations (e.g. page switches, instruction prefetch, branch mis-predictions, cache miss processing, error/packetrecovery) fast enough so as not to affect the executing businessapplication. However, as the rate and volume of transactions increases,contention for internal processor resources, such as memory bandwidth,also increases. Accordingly, the impact of internal optimizations on theexecuting application may no longer be imperceptible. In amultiprocessor environment, this impact may affect the ability tomaintain application tasks/processes, which are divided among multipleprocessors, in sync which each other which may result in out of orderexecution of one or more transactions.

General purpose processors and operating systems further suffer fromtheir general availability and applicability which has made themsusceptible to being reverse engineered and compromised by unknown oruncorrected deficiencies or defects, particularly security related,making them vulnerable to hacking, viruses and other threats.Accordingly, firewalls or other security appliances, applications orprotocols may be required to ensure the safety and security of suchsystems which further adds latency, degrades throughput or otherwiseimpedes performance.

Alternatively, as will be described, the embodiments described below maybe implemented using FPGA's or other reconfigurable logic. Implementingprocessing tasks and algorithms using an FPGA can yield significantperformance enhancements over implementations using traditionalmicroprocessors and operating systems. In particular, an FPGA basedsystem implementation may avoid the processing overhead anduncontrollable/unnecessary optimizations implemented by general purposeprocessors, compilers, operating systems and communications protocols,as well as the security vulnerabilities thereof. For example, an FPGAmay avoid interrupt handling, error correction, pre-fetching and otherunnecessary microprocessor operations/optimizations, as well as genericprocessing/housekeeping tasks of the operating system which are notneeded, such as garbage collection, unnecessary memory swaps, cacheloads, task switching, cycle stealing, etc. Further an FPGAimplementation may avoid the use of general purpose compilers which mayintroduce, for example, undesired program code optimizations.

For example, using an FPGA based implementation may permit components ofa trading system to be collocated, such as via a custom interface, orotherwise closely interconnected with networking equipment, such as arouter or switch, e.g. via a backplane thereof. This would allow thetrading system to have access to incoming transactions as quickly aspossible and avoid the latency introduced, not only by having to routethe transaction over conventional networking media, but also by thecommunications protocols, e.g. Transport Control Protocol (“TCP”), usedto perform that routing. One exemplary implementation is referred to asa “Smart Network Interface Controller” or “SmartNIC” which is a devicewhich typically brings together high-speed network interfaces, a PCIehost interface, memory and an FPGA. The FPGA implements the NICcontroller, acting as the bridge between the host computer and thenetwork at the “physical layer” and allows user-designed customprocessing logic to be integrated directly into the data path. This mayallow a smart NIC to function as a programmable trading platform underthe supervision of a host CPU. Under the Open System Interconnection(“OSI”) model, which is a conceptual model that characterizes andstandardizes the internal functions of a communication system bypartitioning it into abstraction layers, the physical abstraction layerdefines electrical and physical specifications for devices. Inparticular, it defines the relationship between a device and atransmission medium, such as a copper or fiber optical cable. Thisincludes the layout of pins, voltages, line impedance, cablespecifications, signal timing, hubs, repeaters, network adapters, hostbus adapters (HBA used in storage area networks) and more. The majorfunctions and services performed by the physical layer include:establishment and termination of a connection to a communicationsmedium; participation in the process whereby the communication resourcesare effectively shared among multiple users, for example, contentionresolution and flow control; and modulation or conversion between therepresentation of digital data in user equipment and the correspondingsignals transmitted over a communications channel, these signalsoperating over the physical cabling (such as copper and optical fiber)or over a radio link.

However, merely increasing operating performance, whether via animproved general purpose processor or via an FPGA based implementation,may expose, or reduce tolerance of, fundamental flaws of traditionalcomputer hardware, operating systems or the algorithms/programsimplemented thereon, as well as network interconnects/communicationsmedia. Such flaws, which may result in non-deterministic operation,include manufacturing imperfections/variabilities (clock skew, longpaths, Resistance/Capacitance (“RC”) delay, alpha particles, etc.),susceptibility to environmental conditions or changes thereto(temperature, humidity, solar flares, etc.), and human error(intermittent or loose connections, improper configuration, etc.). Theseflaws may introduce transient errors, such as race conditions, biterrors or packet loss, which affect deterministic operation. These issuemay be compounded in a multiprocessor (whether distributed orco-located, e.g. in the same room, the same box, the same package, or onthe same substrate) environment, which is desirable for fault toleranceand/or improved performance, where new interconnects andimperfections/variabilities are introduced/multiplied, interconnects arelonger (increasing the occurrence of race conditions and/or jitter, i.e.variability over time of communications latency), coherence issues areintroduced necessitating complex coherency management mechanisms (threador resource locking, etc.), and resource (data, memory, bus) contentionor conflicts may occur.

Furthermore, mere improvements to performance can reveal problems withthe applications themselves, such as trading applications or theirunderlying algorithms. For example, an increase in the rate oftransaction processing may cause variances/divergence, between actualoperation and ideal or expected operation, to emerge, be amplified,exacerbated (possibly exploited) or compounded beyond an acceptablelevel, e.g. before the application can be reset or other correctiveaction taken. In particular, deficiencies with assumptions, e.g. factorsthought to be negligible or at least acceptable, may become significant,such as the assumed requisite degree of precision or rounding, assumednumber decimal places, assumed number of bits (which may causeoverflow), assumed or limited precision constants or variables (e.g. atime variable incapable of nanosecond or other requisite precision),factors assumed to be constant which are in fact variable, variablesignored for convenience or to reduce complexity, trade offs andcompromises (made for convenience/to reduce cost/complexity or improveperformance of the implementation). Further, the occurrence ofunaccounted for, or intentionally ignored,assumed-statistically-insignificant events/factors, variables, roundingerrors, corner cases, rare or unexpected/unanticipated states or statetransitions may present an increasing risk. Generally, speed becomes alens which creates, or magnifies/reveals underlying, defects and/ordivergences, e.g. where a later transaction may overtake an earliertransaction (race condition), as well as limits recovery time from, orotherwise reduces tolerance for, errors (transient or systemic (delay)such as bit errors, packet loss, etc.). Such flaws may causeinconsistencies and/or may be unfairly exploited.

Accordingly, beyond mere performance improvements, improvedarchitectures and algorithms for implementing electronic trading systemsmay be needed to ensure proper, e.g. transactionally deterministic,operation by avoiding optimizations and operations which may undermineintended operation and avoid, account and/or compensate for performancerelated/introduced/revealed inadequacies.

The disclosed architecture, and implementations thereof, described indetail below, facilitate improved, e.g. low latency and high volume,transactional performance and fault tolerance with assured transactionaldeterminism, while further enabling additional value added functionalityto improve information outflow, trading opportunities, e.g. the easewith which trades can occur or liquidity, risk mitigation and marketprotections, as will be described below.

In the exemplary embodiments, all transactions are ultimately receivedat the electronic trading system via a single point of entry, i.e. asingle communications interface, at which the disclosed embodimentsapply determinism, which as described is moved away from the point wherematching occurs and closer to the point where the electronic tradingsystem first becomes “aware” of the incoming transaction. This mayrequire improving the performance of this communications interface toprocess the influx of transactions without being overwhelmed. In someimplementations, more orders may be submitted by market participants viamore parallel inputs/channels/communications pathways implemented toincrease capacity and/or reduce resource contention. However, for manyof the reasons described above, parallel communication paths complicatedeterministic behavior, e.g. by creating opportunity, such a viaasymmetric delays among communications paths, for later transmitted orarriving transactions to overtake earlier arriving or transmittedtransactions, and may require mechanisms to discriminate among closelyreceived transactions and arbitrate among simultaneously, orsubstantially simultaneously, received transactions, e.g. transactionsreceived at the same time or received within a threshold of timeunresolvable by the system. Accordingly, mechanisms may be implementedto improve and impart deterministic handling of discrimination andarbitration among closely received transactions.

In particular, in one embodiment, an architecture for an electronictrading system is disclosed. As will be described in more detail belowwith respect to FIG. 2, the architecture implements a set of redundantmatch engines to improve fault tolerance. This set of redundant matchengines may include two or more match engines, such as three or fivematch engines. Incoming transactions, e.g. orders to trade, areprocessed by an Orderer component of the architecture which serializes,or otherwise sequences, the incoming transactions based on their orderof receipt by the Orderer. In this manner, the Orderer is the point ofdeterminism for the system as each transaction is then augmented with anindicium, such as a time stamp or other sequence encoding, indicative ofits order of receipt relative to the other received transactions,ensuring their ordered processing thereafter. The sequenced transactionsare then substantially simultaneously communicated, e.g. broadcasted, toeach match engine of the set of redundant match engines, each of whichthen processes the transaction, based on the sequencing imparted by theorderer, and determines a result, referred to as a match event,indicative, for example, of whether the order to trade was matched witha prior order, or reflective of some other change in a state of anelectronic marketplace, etc. As used herein, match events generallyrefer to information, messages, alerts, signals or other indicators,which may be electronically or otherwise transmitted or communicated,indicative of a status of, or updates/changes to, a market/order book,i.e. one or more databases/data structures which store and/or maintaindata indicative of a market for, e.g. current offers to buy and sell, afinancial product, described in more detail below, or the match enginesassociated therewith, and may include messages which are indicative of,or otherwise generated based upon:

-   -   REST—indicates that a new order has been placed on an order book        but not matched with a previously received order counter thereto        (this event may also be indicated by a series of price        improvement match events or deep book change match events, which        may both be considered rests);    -   FILL—indicates that a new incoming order matched with one or        more previously received but unsatisfied orders which were        resting on an order book resulting in a trade;    -   MOD—indicates that an existing/resting order's values (price,        quantity, etc.) have been modified/changed;    -   CANCEL—indicates that an existing/resting order has been        canceled/removed;    -   MARKET OPEN—indicates that a market for trading has opened;    -   MARKET CLOSE—indicates that a market for trading has closed;    -   MARKET HALT—indicates that a market for trading has been paused        for some period of time due to internal restrictions (usually        that price velocity has gotten too high);    -   NEW PRODUCT—indicates that a new product is available;    -   CLOSE/CANCEL PRODUCT—indicates that a product is removed from        trading;    -   PRODUCT TRANSITION—indicates that the market for a product is        transitioning state, e.g. opening, closing, pausing, or        reserving;    -   TRADING SCHEDULES—indicates the market hours;    -   FIRST TRADE—indicates that a first trade for a product has been        placed;    -   PRODUCT LIMITS—indicates the price limits for a product;    -   TRADE—indicates that a trade for a particular product has        occurred;    -   BUST—indicates that a trade has been invalidated;    -   RFQ—indicates a request for quote, e.g. a request to send in        orders for a particular product;    -   HEARTBEAT—indicates an administrative message of the electronic        trading system used to ensure communications of market events        are functioning properly;        or other event or status.

Each match engine may generally operate asynchronously with respect tothe remaining match engines simplifying the implementation thereof, i.e.without complex interconnection or synchronization there between. Aseach match engine generates its result/match event, that result/matchevent is communicated to a Decider component of the architecture. TheDecider collects the results/match events from at least a subset of theset of redundant match engines and determines, of the received results,which is the correct result. In one embodiment, this determination maybe based on a defined quorum vote, i.e. minimum number of match engineswhose results must agree. This quorum may be a majority orsuper-majority of the match engines. The determined result/match eventmay then be provided to a market data component, for example, whichupdates data records, e.g. an order book, reflective of the match eventand/or otherwise reports the match event to the market participantsinvolved in the transaction, as well as the market as a whole, as willbe described.

Accordingly, fault tolerant operation is achieved via the redundantmatch engines coupled with the Decider component which coalesces theresults therefrom while deterministic operation is preserved via thesequencing of transactions by the Orderer component. Further,maintenance may be simplified by allowing faulty match engines to bereset or otherwise swapped out without impeding the processing oftransactions. In addition, processing tasks, such as housekeeping tasks,e.g. garbage collection, which the processor implementing a match enginemust periodically perform and which may impede that match engine'sability to process transactions, may be tolerated. For example, the setof redundant match engines may be designed such that only one matchengine at a time may perform such housekeeping tasks, while theremaining match engines continue to process transactions as usual. Thismay be implemented by transmitting a directive or administrativetransaction to all of the match engines injected into the transactionstream, such as by an administrative component coupled therewith. Thedirective/administrative transaction may act as a synchronizingtransaction and/or a direction to instruct each match engine when toperform its housekeeping/maintenance tasks. The Decider component, viaits normal operation as was described, may then ignore the lack of aresult/match event from the particular match engine allowed to performits housekeeping tasks, assuming it has received results from asufficient number of the remaining match engines. In one implementation,the Decider may be further operative to determine when a match enginebecomes non-responsive or otherwise faulty. In this embodiment, thethreshold for determining a non-response match engine may be set to avalue that is greater than the time it would take a match engine toperform its housekeeping tasks to avoid identifying that match engine asnon-responsive. Once determined to be faulty, the match engine couldthen be removed from the quorum wherein the Decider evaluates anddetermines the result based on the results received from the remainingmatch engines using a modified quorum value, i.e. a lesser number ofconcurring results, to determine the correct result. It will beappreciated that the faulty match engine could then be rebooted,reinstated, restarted or otherwise replaced with Decider then restoringfull operation therewith.

As was described above, the Orderer component, by the nature of its roleto sequence transactions for subsequent processing, may be designatedthe de facto point of determinism for the system as, based on when itperceives receipt of transactions, defines the order in which thosetransactions will be further processed. Accordingly, it may be desirableto locate the Orderer close to the point at which transactions ingress,or are otherwise received by, the electronic trading system. In oneimplementation, the Orderer is implemented using an FPGA coupled, orotherwise integrated with, the network switch/gateway into whichtransactions are received from sources external to the electronictrading system. This allows the Orderer to receive transactions asquickly as possible, such as by bypassing the typical network hardwareand software infrastructure. The network switch/gateway may then befurther coupled with the set of redundant match engines allowing theOrderer to quickly communicate the sequenced transactions thereto.

Similarly, it may be further advantageous to report match events tomarket participants as quickly as possible. Accordingly, in oneembodiment, the Decider may also be implemented in an FPGA, either thesame as or different from the FPGA in which the Orderer is implemented,also coupled with the network switch/gateway which couples theelectronic trading system with the external infrastructure thatinterconnects with the market participants. In this manner, match eventscan be communicated out of the electronic trading system as quickly aspossible.

It will further be appreciated that to increase fault tolerance of theelectronic trading system, the entire architecture, i.e. orderer,redundant match engines and decider, which may be collectively referredto as a “match engine quorum,” may also be replicated in a redundantmanner.

In another embodiment, an improved market monitoring system, alsoreferred to as direct market instrumentation, is provided whichfacilitates activity/transactional-level resolution recording of theoperation of the entire electronic trading system. The disclosed marketmonitoring system leverages the unique perspective of being able tomonitor the state of the entire market and the activities of all marketparticipants to enable: monitoring of market activity, e.g. transactionsand other actions undertaken by market participants, administrators,regulators and other participating entities which affect the state ofthe market, including both inter- and intra-market participant activity;derivation of market and market participant metrics; identification andmonitoring of transactional patterns which may be indicative of, orportend market events, such as a market crash, or illegal, fraudulent ormalicious activity; and/or post event replication/replay, inspection andanalysis of market events and the activity leading thereto. In oneimplementation, the market monitoring system is implemented in an FPGAhaving a memory and coupled with the transaction ingress point of theelectronic trading system, such as the Orderer, described above, or anorder entry gateway of a single match engine-based trading architecture.By utilizing an FPGA having an onboard memory, rapid data transfers canbe achieved to copy and store transactions in the memory as they arereceived. Rather than preserving only snapshots of market activity orsignificant state changes in the market, a complete transactional recordenables the ability to replay that activity and recreate desired marketstates, perform event driven and/or real time analysis, as well asanalyze the activity at a later time to derive metrics and look forpatterns. Further, simulation and testing of hypothetical scenarios maybe enabled by allowing for synthetic activity to be created andexecuted, as well as allow recorded activity to be modified, such as bychanging the parameters of one or transactions, to discern how themodified activity affects the resultant market state.

As used herein, a financial message or financial data message may referboth to messages communicated by market participants to an electronictrading system and vice versa. Financial messages communicated to theelectronic trading system, also referred to as “inbound” messages, mayinclude request messages, such as trader orders, order modifications,order cancellations and other transaction requests, as well as othermessage types. Financial messages communicated from the electronictrading system, referred to as “outbound” messages, may include messagesresponsive to inbound messages, such as confirmation and/other responsemessages, or other messages such as market update messages, quotemessages, and the like, e.g. market data messages.

Financial messages may further be categorized as having or reflecting animpact on a market, also referred to as an “order book” or “book,” for atraded product, such as a prevailing price therefore, etc., or nothaving or reflecting an impact on a market or a subset or portionthereof. For example a request to place a trade may result in a responseindicative of the trade either being matched with, or being rested on anorder book to await, a suitable counter-order. In some cases, requestsmay elicit a non-impacting response, such as temporally proximate to thereceipt of the request and then cause a separate market-impactreflecting response at a later time. For example, a stop order, fill orkill order, aka an immediate or cancel order, or other conditionalrequest may not have an immediate market impacting effect, if at all,until the requisite conditions are met. Accordingly, an acknowledgementor confirmation of receipt, e.g. a non-market impacting communication,may be sent to the trader simply confirming that the order was received.Upon the conditions being met and a market impacting result thereofoccurring, a market-impacting message may be transmitted as describedherein. It will be appreciated that additional conditions may bespecified, such as a time or price limit, which may cause the order tobe dropped or otherwise canceled and that such an event may result inanother non-market-impacting communication instead. As will be describedbelow, in some implementations market impacting communications may becommunicated separately from non-market impacting communications, suchas via a separate communications channel or feed. It will be furtherappreciated that various types of market data feeds may be providedwhich reflect different market or aspects thereof. Market participantsmay then, for example, subscribe to receive those feeds of interest tothem. For example, a particular market data feed may only communicateinformation related to the top buy/sell prices for a particular product,referred to as “top of book” feed. In this case, a request message maybe considered market-impacting only if it affects the top buy/sellprices and otherwise is considered non-market-impacting. As marketimpacting communications tend to be more important to marketparticipants then non impacting communications, this separation mayreduce congestion and or noise among those communications having orreflecting an impact on a market or portion thereof.

Market data feeds may further be characterized as providing a “view” or“overview” of a given market, an aggregation or a portion thereof. Forexample, a market data feed may convey the entire state of a market fora particular product, e.g. all presently resting buy/sell orders andprices associated therewith as well as trade notifications, etc., only aportion of a market, e.g. only the top 10 resting buy/sell orders,and/or an aggregation of multiple markets or portions thereof. As usedherein, a market impacting request may be said to impact the “view” ofthe market as presented via the market data feed.

Various types of market data feeds may be provided by electronic tradingsystems, such as the CME, in order to provide different types or subsetsof market information or to provide such information in differentformats. Examples include Market By Order, Market Depth (aka Market byPrice to a designated depth of the book), e.g. CME offers a 10-deepmarket by price feed, Top of Book (a single depth Market by Price feed),and combinations thereof. There may also be all manner of specializedfeeds in terms of the content, i.e. providing, for example, deriveddata, such as a calculated index). It will be appreciated that number,type and manner of market data feeds provided by an electronic tradingsystem are implementation dependent and may vary depending upon thetypes of products traded by the electronic trading system,customer/trader preferences, bandwidth and data processing limitations,etc. and that all such feeds, now available of later developed, arecontemplated herein.

In another embodiment, customized market data feeds are providedallowing market participants to specify a customized field order and/oradditional custom data fields to be included in their market data feed.As was described above, electronic trading systems broadcast market datafeeds to the market participants to notify them of changes in the stateof the market, such as price updates, trade notifications, etc. Thefeeds comprise a stream of individual event messages which aremulti-casted to the market participants in a predefined format, e.g.FIX/FAST, such that all market participants receive the sameinformation. Upon receipt, many market participants, including feedaggregators which aggregate data feeds from other exchanges and whichfurther may modify and/or relay the data feed to others, typicallyfurther process the market data from the feed, such as by using a TickerPlant, to tailor the data, e.g. the content and/or format, to theirparticular needs, and then rebroadcast the modified data, such as totheir individual trader/trader terminals.

This tailoring may further include extracting one or more subsets ofdata from each data feed message considered to be more important thanthe remaining data, reordering the data in a format further suitable forsubsequent processing, e.g. so that more critical data is processedfirst, and deriving, extracting or otherwise computing values or metricsbased on the data. It will be appreciated that such tailoring of themarket data feed may occur elsewhere, such as at a trader terminal.Examples of derived values include “Greeks” which is a set of differentmeasures/dimensions/variables of risk involved in taking a position inan option (or other derivative). Each Greek, or particular measure ofrisk, is a result of an imperfect assumption or relationship of theoption with another underlying variable. Various sophisticated hedgingstrategies are used to neutralize or decrease the effects of one or moreof these measures of risk. Not all of these risk measures are importantto all market participants and some are more important than others. Withthe exception of vega (which is not a Greek letter), each measure ofrisk is represented by a different letter of the Greek alphabet. Greeksinclude

-   -   Δ (Delta) represents the rate of change between the option's        price and the underlying asset's price—in other words, price        sensitivity;    -   Θ (Theta) represents the rate of change between an option        portfolio and time, or time sensitivity;    -   Γ (Gamma) represents the rate of change between an option        portfolio's delta and the underlying asset's price—in other        words, second-order time price sensitivity;    -   (Vega) represents the rate of change between an option        portfolio's value and the underlying asset's volatility—in other        words, sensitivity to volatility; and    -   ρ (Rho) represents the rate of change between an option        portfolio's value and the interest rate, or sensitivity to the        interest rate.        It will be appreciated that there may be other derived or        computed values, now available or later developed, of interest        to market participants which may be provided by the electronic        trading system in a customized market data as described. For        example, such other derived or computed values may include:    -   non-public data—e.g. such as order identifiers or hidden        quantities privy only to a specific trader;    -   Position data—data showing a trader's risk exposure (similar to        delta, but tied to actual orders) due to a shift in the market;        or    -   Requests For Quote(s)—certain requests for quotes may not be        fully public, and need to be filtered only to the traders        allowed to respond to the RFQ.

The disclosed embodiments recognize such processing, wherever it maytake place outside of the electronic trading system, of the market datafeed upon receipt imparts delay in ultimately providing that data, orthe information derived therefrom, to the recipients who are waiting forit. Furthermore, Ticker Plants and trading software interfaces, whichare typically comprised of custom software, are costly and not allmarket data recipients can afford to implement them or afford efficientimplementations which minimize delay or provide all of the necessaryfunctionality.

Accordingly, the disclosed embodiments offer a “value added” market datafeed by providing the capability for a market participant to customizethe market data feed to their needs by specifying the order of the datawithin each feed message and/or specifying desired computed or derivedvalues to be included in, or otherwise coalesced with, the feed message.Other market participants would continue to receive the standard marketdata feed. In one embodiment, customized market data feeds may beprovided as a service, such as a subscription service, whereby a marketparticipant pays the operator of the electronic trading system a fee,such as a one-time or periodic, e.g. monthly, annual, etc., for theservice. This fee, which may vary depending upon the amount ofcustomization or other factors, may be in addition to, or includedwithin, a fee paid for the standard market data feed. For example, theoperator of the electronic trading system may provide a web site towhich market participants log in via an account associated therewith.The web site may present the various options for customizing the marketdata feed and the cost associated therewith and allow the marketparticipant to choose the desired customizations. A sample of thecustomized market data message may then be provided, based on a real orsynthetic market data message to allow the market participant to confirmtheir desired customizations. Further, the web site may permit themarket participant to provide a payment medium, such as a credit card,etc., or authorization to cover the costs. In one embodiment, the marketdata feed customizations may be limited to a set of definedcustomizations, or templates, from which the market participant mayselect. Alternatively, the market participant may be permitted tocustomize all aspects of the market data feed. It will be appreciatedthat the number, type and degree of permitted customization, frompredefined templates to fully customized specifications, isimplementation dependent and all are contemplated herein.

As will be described below, the customization of market data feeds maybe implemented close, logically and/or physically, to the point at whichmarket data feed messages egress the electronic trading system en routeto their ultimate destination to ensure that the time of dispatch of allof the market data messages, i.e. both the customized and the standardmessages, is normalized so as to avoid providing any advantage to amarket participant in receiving their messages prior to other marketparticipants. Further, the disclosed customization may further beimplemented close, logically and/or physically, to the match engines ofthe electronic trading system so as to have expedient access to marketevent data for the computation and/or derivation of data or metricstherefrom. In one embodiment, a market data customization component isimplemented on the same FPGA as the Decider component described above.Alternatively, the market data customization component may be separatelyimplemented, such as on a separate FPGA. It will be appreciated that thedisclosed market data customization may be implemented with theOrder/Decider match engine architecture described herein or with thecurrent match engine architecture.

By providing customized market data feeds, the need by the marketparticipants to further process the market data messages upon receipt iseliminated thereby avoiding the need to implement costly and complexsoftware to process the data and the processing delay incurred thereby.Furthermore, as the disclosed embodiments substantially simultaneously,i.e. with little to no discernable time difference there tween, transmitboth the standard market data feed and the customized market data feeds,market participants desiring customized data feeds need no longer incurthe disadvantage of the delay imparted by processing the received datacompared with market participants who do not process the market datafeed. Accordingly, more equitable access to customized data feeds isprovided without loss of parity among the market participants.

With current electronic trading system architectures, improvingperformance may result in reaching or exceeding the capacity of existinginfrastructure components, which as was described above, may cause orreveal underlying faults or flaws, such as disparity alongcommunications paths causing jitter or race conditions which results innon-deterministic operation. In particular, with respect toacknowledgement messages sent to specific traders indicative of orderreceipt confirmation, match events or other trader specific/privynotifications, and corresponding market data feed messages sent to allmarket participants reflecting corresponding market state or changesthereto, these disparities may result in the acknowledgement messagebeing transmitted to the particular market participant prior to thecorresponding market data message being transmitted to all of the marketparticipants, or vice versa, which may result inequitable/unfair accessto information. Such unfair information access may then be exploited togain unfair financial or other advantages. Other solutions to ensuringequitable information access have included combining the acknowledgmentand market data feeds into a single feed using participant-unique tokensor identifiers to signal when a particular feed message is also anacknowledgment to a particular trader, or encrypting the acknowledgementfeed messages such that they can only be decrypted by a key providedwithin the corresponding market data feed message. The disclosedembodiments take a different approach, which may used in conjunctionwith or independent of these other solutions, by gating correspondingacknowledgement messages and market data messages against each other atthe point at which these messages egress the electronic trading systemsuch that an acknowledgement message cannot be transmitted to a marketparticipant until the corresponding market data message has beentransmitted, or is ready to transmit, to all market participants.

In one implementation, gating logic is implemented at the point ofmessage traffic egress from the electronic trading system, such as atthe network switch or gateway, or other device through which bothacknowledgement messages and market data messages flow en route to theirrecipients. As described above, the gating logic may be implemented inan FPGA coupled with the switch/gateway fabric/backplane. In operation,as will be described, the gating logic maintains a log or other datastructure which stores data indicative of market data messages whichhave been transmitted prior to the corresponding acknowledgment message.Upon receipt of an acknowledgement message, the queue of market datamessages is checked. If a corresponding market data message has alreadybeen transmitted, as indicated in the log, then the acknowledgmentmessage is allowed to be forwarded on towards its destination. Howeverif the corresponding market data message has not yet been transmitted,then the acknowledgement message is stored in a buffer or other memory.Similarly, upon receipt of a market data message, the buffer of storedacknowledgment messages is checked and if a correspondingacknowledgement message is found, both market data message andcorresponding acknowledgment message are forwarded to their respectivedestinations. If a corresponding acknowledgment message has not yet beenreceived, i.e. is not stored in the buffer then the market data messageis forwarded toward its destination and data indicative thereof isstored in the log to await receipt of the corresponding acknowledgmentmessage.

In one embodiment, opportunities to transact, i.e. market liquidity, maybe improved. It will be appreciated that liquidity of a market isimplementation dependent and/or may depend upon the perspective of oneor more participants thereof. Generally, market liquidity may be definedas an asset's ability to be bought or sold without causing a significantmovement in the price and with minimum loss of value, e.g. where thereare ready and willing buyers and sellers at all times, which may beindicated by a market with many bid and ask orders, whereby the best bidand best offer prices are “relatively” close to one another. Forexample, liquidity of a market may be measured as the probability thatthe next trade in that market will be executed at a price equal to themost recent concluded trade in that market, e.g. better than 50%.Objectively, liquidity of a market may be measured by the difference inprice tick value between the best bid price and the best ask price, suchas where the difference is within a defined threshold value such as twoprice ticks. It will be appreciated that such a threshold may bespecified as a fixed value or may be dynamically specified and varybased on, for example, time of day, day of month, month of year, ordervolume, current price level of the best ask and/or best bid prices,instrument type, a parameter of a correlated market, or other parameteror combination thereof. In known markets, liquidity may be definedspecifically based on the contract type, delivery month(s) or rangethereof, commodity type, etc., such as, for example, where a market fora instrument deliverable in December is considered liquid as opposed toany other month. Alternatively, for example, a market for an instrumentdeliverable in the current month is considered liquid. Further, a marketfor an instrument may be determined to be substantially liquid when animplied order in that market will not substantially improve, e.g.reduce, a spread between a best bid price and a best ask price in themarket for the instrument, such as not reduce it by more than 1 pricetick.

An order to trade, or trade order, is effectively an order or requestfor a transaction with respect to a financial instrument, such asfutures contract, options on future, spread or other combinationcontract, etc., wherein the transaction further specifies at leastwhether the trader desires to buy (bid) or sell (offer) the financialinstrument, the desired price therefore, and quantity thereof. It willbe further appreciated that other factors, such as conditions, e.g. stoporders, etc., may also be specified. Further the price may be specifiedas a fixed value, relative value, upper or lower limit value, or rangeof values. The financial instrument may comprise one or more componentinstruments or component transactions. A financial instrument comprisingmore than one component instrument may also be referred to as acombination contract or combination financial instrument. A combinationcontract, also referred to as a strategy, may be defined as acombination of orders for outright contracts where each order for anoutright contract forms a “leg” of the strategy, also referred to as aleg order. The definition of the combination contract further specifieswhether buying a unit quantity of the strategy, i.e. the combinationcontract, requires a given leg to be bought or sold and in whatquantity. Strategies may be defined by the exchange and advertised totraders as tradable instruments and/or they may be defined upon requestby a market participant, such as via a request submitted to theExchange. As described above, a combination contract permits thesimultaneous trading of the component instruments thereof, i.e.simultaneous submission on the orders therefore, into a market for thatinstrument. Combination contracts may be used to hedge risk, e.g. riskthat a price of the underlier will rise or fall in the future, risk thatprices will be volatile, risk of a rise or fall in interest rates, orother risk. It will be appreciated that market participants may attemptto simulate combination contracts, particularly those not defined by theExchange and therefore were no specific market for the combinationcontract exists, by separately submitting the component transactions asseparate orders into the associated markets but may incur additionaltransaction fees and the risk, referred to as “leg risk,” that theindividual orders may be not be processed as desired, such as due to achange in the market at the time of submission or proximate thereto.

An order for a financial instrument comprising more than one componentinstrument, i.e. a combination financial instrument or contract, enablesa trader to transact in multiple instruments with a single transactionwhich, for example, reduces transaction fees and/or the delay betweensubmission of orders for the involved financial instruments (which maybe advantageous when prices for those instruments are quickly changing),thereby reducing leg risk. A common example of a combination contract isa spread. A spread is the simultaneous buying of one financialinstrument and selling of another financial instrument. For example, ina calendar spread, the trader buys (or sells) a futures contract for aparticular underlier expiring in a particular month and sells (or buys)another futures contract for the same underlier expiring in anothermonth, such as a later month. Using a calendar spread, the trader isseeking to take advantage of a rise or fall in price, as the case maybe, between the expiration months of the two futures contracts. Eachfinancial instrument of the combinations financial instrument may bereferred to as a leg, leg contract or leg order. Combination financialinstruments are themselves tradeable objects which are typically listedon their own order book separate from the order books for the individualcomponent financial instruments, i.e. leg contracts, which can beseparately traded as well. For example, a trader may buy or sell aspread contract which comprises a buy of A and sell of B. Further, aseparate spread contract comprising a sell of A and buy of B may also beoffered for trading. Other examples of combination financialinstruments, which may have two or more component financial instruments,include inter-commodity spreads, intra-commodity spreads, futuresstrips, condor spreads, butterfly spreads, crack spreads, collarcontracts, strangle contract, straddle contracts, etc. It will beappreciated that a given component financial instrument may itself becomprised of component financial instruments. For example, a financialinstrument may comprise two separate spread contracts. It is possible todefine combination contracts where the purchase of a single unit of thecombination requires the purchase or sale of any number of units in thelegs. The number of units required of any given leg is referred to asits volume ratio. Examples of strategies that include legs havingdifferent volume ratios include, but are not limited to, the butterfly,the double butterfly, crack spreads, crush spreads, and other ratiospreads.

Upon receipt of an incoming order to trade in a particular financialinstrument, whether for a single component financial instrument, e.g. asingle futures contract, or for multiple component financialinstruments, e.g. a combination contract such as a spread contract, amatch engine, as will be described in detail below, will attempt toidentify a previously received but unsatisfied order counter thereto,i.e. for the opposite transaction (buy or sell) in the same financialinstrument at the same or better price (but not necessarily for the samequantity unless, for example, either order specifies a condition that itmust be entirely filled or not at all). Previously received butunsatisfied orders, i.e. orders which either did not match with acounter order when they were received or their quantity was onlypartially satisfied, referred to as a partial fill, are maintained bythe electronic trading system in an order book database/data structureto await the subsequent arrival of matching orders or the occurrence ofother conditions which may cause the order to be removed from the orderbook.

If the match engine identifies one or more suitable previously receivedbut unsatisfied counter orders, they, and the incoming order, arematched to execute a trade there between to at least partially satisfythe quantities of one or both the incoming order or the identifiedorders. If there remains any residual unsatisfied quantity of theidentified one or more orders, those orders are left on the order bookwith their remaining quantity to await a subsequent suitable counterorder, i.e. to rest. If the match engine does not identify a suitablepreviously received but unsatisfied counter order, or the one or moreidentified suitable previously received but unsatisfied counter ordersare for a lesser quantity than the incoming order, the incoming order isplaced on the order book, referred to as “resting”, with original orremaining unsatisfied quantity, to await a subsequently receivedsuitable order counter thereto. The match engine then generates matchevent data, as was described above, reflecting the result of thismatching process. Other components of the electronic trading system, aswill be described, then generate the respective order acknowledgment andmarket data messages and transmit those messages to the marketparticipants.

As was described above, the financial instruments which are the subjectof the orders to trade, may include one or more component financialinstruments. While each financial instrument may have its own orderbook, i.e. market, in which it may be traded, in the case of a financialinstrument having more than one component financial instrument, thosecomponent financial instruments may further have their own order booksin which they may be traded. Accordingly, when an order for a financialinstrument is received, it may be matched against a suitable counterorder in its own order book or, possibly, against a combination ofsuitable counter orders in the order books the component financialinstruments thereof, or which share a common component financialinstrument. For example, an order for a spread contract comprisingcomponent financial instruments A and B may be matched against anothersuitable order for that spread contract. However, it may also be matchedagainst suitable separate counter orders for the A and for the Bcomponent financial instruments found in the order books therefore.Similarly, if an order for the A contract is received and suitable matchcannot be found in the A order book, it may be possible to match orderfor A against a suitable counter order for a spread contract comprisingthe A and B component financial instruments and a suitable counter orderfor the B component financial instrument. This is referred to as“implication” where a given order for a financial instrument may bematched via a combination of suitable counter orders for financialinstruments which share common, or otherwise interdependent, componentfinancial instruments.

The order for a particular financial instrument actually received from amarket participant, whether it comprises one or more component financialinstruments, is referred to as a “real” or “outright” order, or simplyas an outright. The one or more orders which must be synthesized intoorder books other than the order book for the outright order in order tocreate matches therein, are referred to as “implied” orders. Uponreceipt of an incoming order, the identification or derivation ofsuitable implied orders which would allow at least a partial trade ofthe incoming outright order to be executed is referred to as “impliedmatching”, the identified orders being referred to as an “impliedmatch.” Depending on the number component financial instrumentsinvolved, and whether those component financial instruments furthercomprise component financial instruments of their own, there may benumerous different implied matches identified which would allow theincoming order to be at least partially matched and mechanisms may beprovided to arbitrate among them, such as by picking the implied matchcomprising the least number of component financial instruments or theleast number of synthesized orders.

Upon receipt of an incoming order, or thereafter, the identification orderivation of a combination of one or more suitable counter orders whichhave not actually been received but if they were received, would allowat least a partial trade of the incoming order to be executed, isreferred to as an “implied opportunity.” As with implied matches, theremay be numerous implied opportunities identified for a given incomingorder. Implied opportunities are advertised to the market participants,such as via suitable synthetic orders, e.g. counter to the desiredorder, being placed on the respective order books to rest (or give theappearance that there is an order resting) and presented via the marketdata feed to appear available to trade in order to solicit the desiredorders from the market participants. Depending on the number componentfinancial instruments involved, and whether those component financialinstruments further comprise component financial instruments of theirown, there may be numerous implied opportunities, the submissionthereof, would allow the incoming order to be at least partiallymatched.

Implied opportunities, e.g. the advertised synthetic orders, mayfrequently have better prices than the corresponding real orders in thesame contract. This can occur when two or more traders incrementallyimprove their order prices in the hope of attracting a trade, sincecombining the small improvements from two or more real orders can resultin a big improvement in their combination. In general, advertisingimplied opportunities at better prices will encourage traders to enterthe opposing orders to trade with them. The more implied opportunitiesthat the match engine of an electronic trading system cancalculate/derive, the greater this encouragement will be and the morethe Exchange will benefit from increased transaction volume. However,identifying implied opportunities may be computationally intensive. In ahigh performance trading system where low transaction latency isimportant, it may be important to identify and advertise impliedopportunities quickly so as to improve or maintain market participantinterest and/or market liquidity.

Furthermore, identifying implied matches is also computationallyintensive. Generally, for an incoming order, a match in the outrightmarket/order book therefore is preferred over implied matches. However,once it is determined that a suitable outright order is not available orthere is still residual quantity available in the incoming order, if animplied match is to be found, it must be done so quickly so as not tomiss the trading opportunity, e.g. if the implied markets are highlyliquid or otherwise volatile, or unduly delay posting the unsatisfiedincoming order, or unsatisfied portion thereof, to the order book. Whilesuccessful identification of a suitable implied match would benefit thetrader by providing a heretofore unavailable opportunity to trade, thedelay in performing the identification process may create or increaseleg risk or otherwise, especially if unsuccessful, may unduly prejudicethat trader. Identifying an implied match is a complex process becauseof, among other considerations, the large number of potential ordercombinations upon which implied orders may be based. For example, asingle commodity product available in 72 different delivery months willhave 72 possible outright contracts, each of which may have a restingbuy order or a resting sell order. There are 2556 (=(72*71)/2) potentialspread contracts, noting that the buy/sell combination and sell/buycombination of any two outright contracts both correspond to the samespread contract. For a simple implied where two real orders combine toform a third order, there are 5256 (=2*72+2*2556) choices of the orderto imply and 71 (=72−1) ways to choose a combination of two ordersimplying any given third order, leading to 373,156 combinations overall.As the number and complexity of the contracts involved in implicationgets larger, the number of possible combinations grows exponentially.

For these reasons, trading systems that derive implied orders are oftenlimited by computing capacity and speed. Conventional trading systems donot have an efficient method of determining all possible or bestpossible implied markets, especially when the order combinations involvemore than a few orders. Accordingly, they limit the degree to whichimplication may be carried out, for example to only the componentfinancial instruments of the financial instrument of the incoming order,or a limited subset of the combinations thereof. This has the practicaleffect of limiting the degree of liquidity, i.e. opportunities to trade,which the Exchange may offer, thereby limiting the potential revenue,via transaction fees, that the Exchange may earn.

In current electronic trading systems, the implication process occurswithin the match engine so as to have access to the match event data asquickly as possible and determine whether an implied match exists, orwhether an implied opportunity should be advertised, before the matchevent is communicated to the market participants. This in turn impliesthat this match engine must be privy to all of the markets, i.e. orderbooks, which the implication process needs. Limited computationalcapacity/resources of the match engine results in a limited number oforder books which can be managed and, therefore, limits the degree ofimplication.

In one embodiment, using the orderer/decider architecture describedabove, the implication process is moved outside the match engine, suchas to be, for example, co-located with the Decider of one or moreOrder/Decider match engines, described above, such as on the same FPGAor within the same switch, gateway or other network device, so as to beprivy to the match events generated thereby indicative of whetherincoming orders are matched or not. In one implementation, an implicatoris provided which listens to all match events and, using a set ofself-maintained “shadow order books”, attempts to identify, calculate orderive implied matches. If an implied match is identified, theimplicator generates one or more synthetic orders into the necessarymarkets and injects them into the stream of incoming orders to therelevant Orderers. These synthetic orders are then processed like anyother orders resulting in the necessary implied matches. As theimplicator may be privy to the match event data from multiple markets,and in one embodiment all markets, it can identify a wider array ofimplied intra- and inter-market matches thereby improving liquidity.These synthetic orders can be injected ahead of any real orders that maybe inbound to complete the implied transaction ahead thereof. Theability to identify implied matches across a wider variety of marketsfurther enables the electronic trading system to offer a wider varietyof combination financial instruments, e.g. more complex combinations,even where the market therefore may be characterized by lower liquidity,such as due to the lower demand for such a complex product. Inparticular, the disclosed system may improve liquidity via theidentification of implied matches in the relevant component financialinstrument markets alleviating the need for liquidity in the specificmarket for the financial instrument.

Further, in one embodiment, the process by which implied matches areidentified may be separated from the process by which impliedopportunities are identified. In particular, once it has been determinedthat an incoming order has not been satisfied, or has only beenpartially satisfied, both my attempting to identify an outright ordermatch and an implied match, the incoming order, with its residualquantity, will be placed on the order book to rest and to be advertisedto the market participants as being available to trade. As was describedabove, to further improve liquidity by creating additional opportunitiesfor this order to be traded, an implied opportunity processor may thendetermine what, if any, one or more orders in related markets, ifreceived, would allow the incoming order to trade. To facilitate thisprocess, the implied opportunity generator, as will be described, maymaintain its own shadow set of order books. It will be appreciated thatthe implied opportunity processor, as will be described, may derive,calculate, or otherwise compute more than one implied opportunity, eachof which may, alone or in concert with other resting outright orders,allow the incoming order to trade and wherein when any one of these oneor more implied opportunities is traded against, the remaining impliedopportunities are canceled. Further, should orders be placed againstmore than one of these implied opportunities, arbitration mechanisms maybe provided to determine which will prevail. Alternatively, the impliedopportunity processor may determine that more than one impliedopportunity is needed, alone or in concert with presently restingorders. As implied opportunities are synthetic and only tradeable if allof the related orders are tradeable, mechanisms may be necessary, forexample, to ensure that all of the implied opportunities aresimultaneously traded together or not at all. Alternatively, the impliedopportunity may be permitted to trade under the assumption that theremaining opportunities will also be traded eventually, thereby allowingall of the related orders to be traded, wherein the Exchange, or anotherentity, such as a Market Maker, adopts the synthetic counter positionand the risk that all of the implied opportunities will not be traded.

The identified implied opportunities are then added to the market dataso as to solicit the desired orders. That is, synthetic market dataevents are generated to advertise the availability of the impliedopportunity in order to solicit the desired order(s). In one embodiment,synthetic orders identical to those needed are injected into theincoming order stream of the relevant markets. As the implied matchfunction would have already determined that suitable counter orders donot exist in those markets, these synthetic orders will not be matchedand instead will be rested on the respective order books and advertisedto the market participants via the standard market data feed. Should amarket participant choose to trade against one of these syntheticorders, the implied matching functionality described above, may see suchorders to create an implied match and execute trades among all of therelevant orders.

Separating implied opportunity from implied match allows streamlining ofboth functions so that the processing can be performed quickly. Inparticular, identification of implied matches involves reviewing theorder books of products which share at least one common componentinstrument to discern if the requisite orders are resting therein. Incontrast, the identification of implied opportunities requires knowledgeof the available order books for products sharing at least one commoncomponent instrument but review of those order books may be unnecessaryassuming an implied match was not previously identified. In oneembodiment, while the functions of implied match identification andimplied opportunity identification may be separated, they may still becoupled with each other so as, for example, allow the implied matchprocessor to identify those orders that it was unable to identify duringits process to the implied opportunity generator. Furthermore,identification of implied matching typically requires analysis of agreater number of generations of combination instruments as thecomponent instruments typically further comprise component instrumentsof their own, as compared to identification of implied opportunitieswhere such opportunities are typically readily identified viaidentification of common singular component instruments. Further, whileidentification of implied matches is done as part of/in concert with thematching process, a process which must be performed sequentially,quickly and deterministically, the identification of impliedopportunities is effectively merely producing information to bebroadcast to the market participants and can be performed in parallelwith the matching process or otherwise separately therefrom. Separationfurther permits the electronic trading system to offer eitheridentification of implied matches or implied opportunities but not bothif necessary. For example, due to high volumes, it may be desirable toturn down the frequency of implied opportunity identification, however,turning off implied match identification may change the liquidity pooland alter the market, so it should remain on during the life of atrading session.

The ability to see all incoming transactions and match events for agiven set of markets, such as by the Orderer and Decider components ofthe Orderer/Decider architecture described above and in more detailbelow, allows for improved market protection mechanisms, such asimproved credit controls based on pre-trade transactions, e.g. incomingorders, referred to as “in band.” Credit controls generally evaluatetrader activity, e.g. trade orders, against specified activity limits,e.g. credit limits, to control the amount of risk, which may be definedas the predicted maximum dollar amount/value that may be lost over adefined period of time based on a particular confidence level, that amarket participant, or group thereof, may undertake. Risk, as opposed tothe mere magnitude of the transaction, is generally a derived valuewhich contemplates the transaction in combination with other factors,such as other transactions, which may dampen or magnify the risk of theparticular transaction, or for which the risk thereof may be dampened ormagnified by the particular transactions. One methodology for measuringrisk is referred to as percentage of value at risk (VaR) which is astatistical technique to measure and quantity a level of financial riskover a period time based on market velocity and direction, i.e. the rateand direction of price changes in the market. Credit controls may beapplied to individual traders and/or organizations of traders, such asall of the traders working for a particular broker.

Applying credit controls requires determining the risk incurred witheach transaction undertaken by the market participant which generallyinvolves making one or more assumptions as to future events and applyingthose assumptions to the current transaction. As such transactions maybe related to other transactions undertaken by that market participantas well as other factors, the quantification of the risk of any onetransaction may be performed in numerous different ways based ondifferent assumptions, each possibly yielding a different result, and isgenerally computationally intensive. Accordingly, credit controls havegenerally been applied after transactions have been processed, e.g.after the matching process, so as not to impede transaction throughput.As opposed to evaluating credit limits and applying credit controlsbased on post-trade results, referred to as “out of band,” the disclosedembodiments enable proactive operations to apply credit controlseliminating the need, for example, to retroactively “unwind” completedtransactions which exceeded a trader's credit limit.

The disclosed embodiments generally implement a high speed creditevaluator to maintain credit limits, such as for each product, for eachindividual account, for each individual side of a trade, for eachtrading firm, for each clearing firm, or combinations thereof. Thedisclosed embodiments may further accept limit updates from externalsources on a periodic, non-real time basis, disseminate position andlimit data on a scheduled or ad-hoc basis, and enforce positionallimits, as calculated based on quantity, in real-time for all incomingorders to the match engine.

In particular, the disclosed embodiments, having access to all incomingorders, may evaluate not only a specific trader activity, but all othertrader's activity as well so as to be able to determine how a particulartransaction will affect a particular trader's credit position, e.g.present level of risk as compared to their limit, as well as the effecton all of the other traders' credit positions. As opposed to creditcontrol mechanisms implemented by the market participants themselves,which are only privy to the transaction of those market participants,the disclosed embodiments can evaluate the effects of transactions notonly on the party but also on the counter party thereto, as well asother market participants engaged in related transactions.

Furthermore, the disclosed embodiments enable consideration of incomingtransactions in conjunction with resting orders and/or open positions(completed orders) in the submitting market participant's and/or othermarket participants' portfolios, consideration of the probability thatthe incoming order will be fully or partially satisfied/filled such asby looking at the current market depth, other incoming orders for thesame product or counter party activity, as well as consideration of riskto the entire market based on size of the incoming order.

When it is determined that a given transaction causes an increase inrisk above the defined credit limit, the transaction may be blocked. Itwill be appreciated that transactions which do not increase risk above aparticular threshold, are risk neutral or reduce risk, may be permittedeven when the particular market participant's credit limit has beenexceeded. In one embodiment, a risk exceeding transaction may only bepartially filled according to a modified allocation algorithm designedto reduce the risk of the transaction thereby. In one embodiment,multiple credit limit thresholds may be defined whereby a lower limit isspecified to cause preemptive actions to occur, such as a warningmessage and/or may trigger more intensive scrutiny of subsequenttransactions, such as via the application of more accurate, but alsopossibly more computationally intensive, risk computation algorithms. Inone embodiment, patterns of risky activity may be identified based onpre-defined or dynamically defined activity patterns. Furthermore, thedisclosed embodiments, may implement proactive mechanisms to reduce risksuch as by computing and soliciting risk reducing transactions from themarket participants in a similar manner as implied opportunities.

As was described above, in order to compute implied matches and/oropportunities, access to all of the interdependent order books isnecessary so as to be able to identify suitable markets and actual orhypothetical resting orders therein which permit a given transaction tobe completed. However, limited data storage capacity and/or bandwidththerewith limits the number of order books which may be stored and/oraccessed by any given match engine. Aside from restricting liquidity andthe variety of product offerings, this also necessitates providingspecific match engines to handle specific markets which necessarilyconstrains transaction throughput and fault tolerance.

Accordingly, in one embodiment of the disclosed electronic tradingsystem architecture, multiple generic match engines, or redundant matchengine sets, as described above, may be provided which are capable ofprocessing a transaction for any of the markets provided by theelectronic trading system. All of the order books may be maintained in acentrally accessible memory architecture. As incoming orders arereceived, they may be allocated or otherwise disseminated to one of thegeneric match engines (or match engine sets). To determine which matchengine (or set) to send the transaction for processing, the system maydetermine the outright and all related order books to the giventransaction. If the identified order books have not yet been allocatedto a match engine (or set thereof), an available match engine (or set)is selected, the identified order books are allocated and the incomingtransaction is routed thereto. If the identified order books are alreadyallocated to one of the match engines (or sets), the incoming order isrouted to that match engine (or set). During transaction processing, thematch engine (or set) accesses and updates the order books as needed toperform the matching and implication functions as described. When thematch engine (or set) has completed processing of all transactions,before another transaction is routed thereto, it relinquishes itsallocation of the identified order books, and is then available for anew transaction for a new set of identified order books.

In one embodiment, the allocation of identified order books may furtherinclude allocation of a defined matching algorithm to be applied by thematch engine (or set). This allows different matching algorithms to beused by each match engine.

Allocation of the identified order books may be implemented by actuallytransferring the data representative thereof to a memory associated withthe selected match engine and then transferring the updated order booksback to the central memory upon deallocation. Alternatively, access tothe central memory and, further, to the identified order books, may beallocated such as by providing the memory address locations ofidentified order books in the central memory to the selected matchengine (or set), such as via provision of a sparse matrix or other datastructure which comprises the identification of the requisite memorylocations. Updates to the order books in the central memory may then beaccomplished via remote direct memory access (“RDMA”) or other backchannel network based memory access. It will be appreciated otherstorage resource sharing mechanisms may be utilized, such as non-uniformmemory architecture (NUMA) compliant mechanisms, structured orunstructured databases, such as tag clouds, etc.

The disclosed embodiment, thereby, provide for fungible generic matchengines which can handle independent/unrelated markets in parallel. Inone embodiment, the number of generic match engines (or sets thereof)may be set so as to statistically minimize transaction latency amongtransactions to independent/unrelated markets. Order books are only tiedto a given match engine (or set) for the duration of the orderprocessing of transactions therein. By altering the degree ofinterdependencies computed to identify related order books, parallelismamong transaction processing and/or liquidity/trading opportunities canbe balanced.

While the disclosed embodiments may be discussed in relation to futuresand/or options on futures trading using a central limit order book(“CLOB”), it will be appreciated that the disclosed embodiments may beapplicable to any financial instrument, e.g. equity, options or futures,trading system or market now available or later developed, which may usea CLOB, a Request for Quote or other methodology. A CLOB is a tradingmethod used by most exchanges globally. It is a transparent system thatmatches customer orders (e.g. bids and offers) on a ‘price timepriority’ basis. The highest (“best”) bid order and the lowest(“cheapest”) offer order constitutes the best market or “the touch” in agiven security or swap contract. Customers can routinely cross thebid/ask spread to effect low cost execution. They also can see marketdepth or the “stack” in which customers can view bid orders for varioussizes and prices on one side vs. viewing offer orders at various sizesand prices on the other side. The CLOB is by definition fullytransparent, real-time, anonymous and low cost in execution. In the CLOBmodel, customers can trade directly with dealers, dealers can trade withother dealers, and importantly, customers can trade directly with othercustomers anonymously. In contrast to the CLOB approach, the RFQ tradingmethod is an asymmetric trade execution model. In this method, acustomer queries a finite set of participant market makers who quote abid/offer (“a market”) to the customer. The customer may only “hit thebid” (sell to the highest bidder) or “lift the offer” (buy from thecheapest seller). The customer is prohibited from stepping inside thebid/ask spread and thereby reducing its execution fees. Contrary to theCLOB model, customers can only trade with dealers. They can not tradewith other customers, and importantly, they can not make marketsthemselves.

A limit order is an order to buy a security at no more than a specificprice, or to sell a security at no less than a specific price (called“or better” for either direction). This gives the trader (customer)control over the price at which the trade is executed; however, theorder may never be executed (“filled”). Limit orders are used when thetrader wishes to control price rather than certainty of execution. Amarket order is a buy or sell order to be executed immediately atcurrent market prices. As long as there are willing sellers and buyers,market orders are filled. Market orders are therefore used whencertainty of execution is a priority over price of execution. Aconditional order is any order other than a limit order which isexecuted only when a specific condition is satisfied, such as a stop orstop-loss order which is an order to buy or sell a stock once the priceof the stock reaches a specified price.

As was described above, an order to trade, whether it be a limit order,market order, conditional order or some other order type, may beconsidered a business transaction, i.e. one or more operations or actswhich implement one or more business rules (including industry, legal orregulatory requirements or customs) to accomplish a business orcommercial purpose, which may include compliance with industry,regulatory or legal requirements. A business transaction may beimplemented by one or more computer processing and/or databaseoperations/program steps, which themselves may be referred to astransactions. Business transactions, as defined by the business rules,may be deterministic in that they must occur, or be processed, in an(temporal) order and/or in real time as defined by business rules and/orto effect the business/commercial purpose or meet participantexpectations. It will be appreciated that such deterministic processingmay, in fact, result in out of order processing depending on thebusiness rules, such as where conditions for processing orders areimposed which may not be met by an earlier transaction before a latertransaction. Deterministic order may be paramount. Real time processingmay be secondary. For example, when an offer transaction is received towhich an prior offer transaction counter thereto has not been previouslyreceived, it should be matched with the next offer transaction receivedcounter thereto (in a FIFO market). However, if the earlier offertransaction specifies a condition, such as that it must be completelyfilled or not at all, it may be deferred in favor of a later arrivingoffer transaction when the condition is not met. As was discussed above,the representation (but not, perhaps, the perception) of the currentstate of the business environment, e.g. market, in which the businesstransactions are transacted, or changes therein, should present anaccurate reflection of the actual state or state change so as to notmislead participants or provide an unfair advantage.

An exemplary trading network environment including the disclosedelectronic trading system 100 is shown in FIG. 1. In the exemplaryenvironment, the electronic trading system 100 receives orders andtransmits market data, e.g. related to orders and trades, to users, suchas via wide area network 126 and/or local area network 124 and computerdevices 114, 116, 118, 120 and 122, as will be described below, coupledwith the exchange computer system 100.

Herein, the phrase “coupled with” is defined to mean directly connectedto or indirectly connected through one or more intermediate components.Such intermediate components may include both hardware and softwarebased components. Further, to clarify the use in the pending claims andto hereby provide notice to the public, the phrases “at least one of<A>, <B>, . . . and <N>” or “at least one of <A>, <B>, . . . <N>, orcombinations thereof” are defined by the Applicant in the broadestsense, superseding any other implied definitions here before orhereinafter unless expressly asserted by the Applicant to the contrary,to mean one or more elements selected from the group comprising A, B, .. . and N, that is to say, any combination of one or more of theelements A, B, . . . or N including any one element alone or incombination with one or more of the other elements which may alsoinclude, in combination, additional elements not listed.

The electronic trading system 100 may be physically implemented with oneor more mainframe, desktop or other computers, such as the computer 2500described below with respect to FIG. 25, reconfigurable logiccomponents, network switches, gateways, routers and other communicationsdevices operative to facilitate communications within the electronictrading system 100 and between the electronic trading system 100 and themarket participants. Logically, the electronic trading system 100implements numerous functions/functional modules each of which, as willbe described, may be implemented in software, hardware or a combinationthereof, as single standalone component or combination of interconnectedcomponents or in combination with another function/functional module.

It will be appreciated that identifying and defining the boundaries ofan inter-networked communications system, the internal componentsthereof being interconnected as well, such as between the electronictrading system 100 and market participants and the infrastructure whichallows communications there between, may be complex. Physically, thevarious network device, e.g. switches, gateways, routers, and thecabling and connections there between, may be owned, leased and/orcontrolled by different entities, as well as physically located indisparate geographic locations which may be geographically proximate to,or remote from, the entity which owns, leases or controls the networkdevice. In some cases, a network device owned and operated by a serviceprovider may be physically located within the premises of entity towhich the services are provide or, alternatively, the network deviceowned and operated by the service recipient may be physically locatedwithin the premises of the service provider, both situations beingreferred to as colocation. Logically, the paths, and the boundariesthere between, over which transactions flow and the boundaries betweenentities may be more difficult to discern.

Accordingly, as generally used herein, the electronic trading system100, or the components or boundaries thereof, may be defined in numerousways. In particular, the physical electronic trading system 100 may bedefined by the entity defines the business rules for processing tradingtransactions and which owns or otherwise controls the components whichimplement those rules, wherever those components may be geographicallylocated. The logical boundaries of the electronic trading system 100,which may also be referred to as the demarcation point or edge 142, maybe defined as the first, or last, point at which the electronic tradingsystem 100 can control or otherwise manipulate an incoming, or outgoing,transmission, e.g. data message or packet. For example, for an outgoingdata packet, the edge 142 of the electronic trading system 100 may bedefined as the last point at which the electronic trading system 100, orcomponent thereof, can recall or otherwise stop the transmission. Forexample, the demarcation point or edge 142 may be the point at which amarket data message is provided to the multi-casting protocol fortransmission or other point where data packets are individuallyforwarded toward their respective destinations, e.g. individuallydistinguishable by destination address. In at least one disclosedembodiment, the edge or demarcation point 142 may further be defined asthe point at which data messages or packets destined for multiple marketparticipants are transmitted simultaneously, or substantiallysimultaneously, i.e. transmitted with short a time period such that anobserver would consider them simultaneously transmitted or otherwisefind the difference there between practically, logically or physicallyimperceptible. Thereafter, variation in network path latencies, etc. mayimpart unequal delays on the delivery of those messages.

Generally, the edge 142 will lie between a component of the electronictrading system 100, such as a router or gateway device (not shown), anda component, such as router or gateway device (not shown), controlled byanother entity, such as an Internet Service Provider or other operatorof the LAN 124 or WAN 126 shown in FIG. 1. As described above, the edgeor demarcation point 142 may be geographically located anywhere, e.g. itmay be geographically proximate to or remote from the other componentsof the electronic trading system 100. In some embodiments, marketparticipants may collocate devices for receiving data from theelectronic trading system 100 in the same geographic location as thecomponents of the electronic trading system 100 which transmit thatdata.

Referring back to FIG. 1, functions/functional modules of the electronictrading system 100 may include a user database 102, stored in a memoryother storage component, e.g. see the description below with respect toFIG. 25, which includes information identifying market participants,e.g. traders, brokers, etc., and other users of electronic tradingsystem 100, such as account numbers or identifiers, user names andpasswords. An account data function 104 may be provided which mayprocess account information that may be used during the matching andtrading process, such as processing trading fees or maintaining creditlimits, etc. A match engine function 106, described in detail below, maybe included to receive incoming transactions and access order books,such as may be stored in the order book function 110, and match incomingand resting transactions, such as bid and offer prices, and may beimplemented with software that executes one or more algorithms formatching bids and offers, e.g. FIFO, pro rata, etc. A trade database108, stored in a memory or other storage medium, may be included tostore information identifying trades and descriptions of trades. Inparticular, a trade database may store information identifying the timethat a trade took place and the contract price. An order book function110 may be included to store resting offers to buy or sell for thevarious products traded on the exchanges and to compute or otherwisedetermine current bid and offer prices for those products. A market datafunction 112 may be included to collect market data and prepare the datafor transmission to market participants. A risk management function 134may be included to compute and determine a user's risk utilization inrelation to the user's defined risk thresholds, i.e. implement creditcontrols as will be described. An order processing function 136 may beincluded to decompose delta based and bulk order types for processing bythe order book function 110 and/or match engine function 106. A volumecontrol function 140 may be included to, among other things, control therate of acceptance of mass quote messages in accordance with one or moreaspects of the disclosed embodiments. It will be appreciated thatconcurrent processing limits may be defined by or imposed separately orin combination, as was described above, on one or more of the electronictrading system 100 components, including the user database 102, theaccount data function 104, the match engine function 106, the tradedatabase 108, the order book function 110, the market data function 112,the risk management function 134, the order processing function 136, orother component or function of the electronic trading system 100.

The trading network environment shown in FIG. 1 includes exemplarycomputer devices 114, 116, 118, 120 and 122 which depict differentexemplary methods or media by which a computer device may be coupledwith, either directly or indirectly, the electronic trading system 100or by which a user may communicate, e.g. send and receive, trade orother information therewith. It will be appreciated that the types ofcomputer devices deployed by market participants and the methods andmedia by which they communicate with the electronic trading system 100is implementation dependent and may vary and that not all of thedepicted computer devices and/or means/media of communication may beused and that other computer devices and/or means/media ofcommunications, now available or later developed may be used. Eachcomputer device, which may comprise a computer 2500 described in moredetail below with respect to FIG. 25, may include a central processorthat controls the overall operation of the computer and a system busthat connects the central processor to one or more conventionalcomponents, such as a network card or modem. Each computer device mayalso include a variety of interface units and drives for reading andwriting data or files and communicating with other computer devices andwith the electronic trading system 100. Depending on the type ofcomputer device, a user can interact with the computer with a keyboard,pointing device, microphone, pen device or other input device nowavailable or later developed.

An exemplary computer device 114 is shown directly connected to exchangecomputer system 100, such as via a T1 line, a common local area network(LAN) or other wired and/or wireless medium for connecting computerdevices, such as the network 2520 shown in FIG. 25 and described belowwith respect thereto. The exemplary computer device 114 is further shownconnected to a radio 132. The user of radio 132, which may include acellular telephone, smart phone, or other wireless proprietary and/ornon-proprietary device, may be a trader or exchange employee. The radiouser may transmit orders or other information to the exemplary computerdevice 114 or a user thereof. The user of the exemplary computer device114, or the exemplary computer device 114 alone and/or autonomously, maythen transmit the trade or other information to the electronic tradingsystem 100.

Exemplary computer devices 116 and 118 are coupled with a local areanetwork (“LAN”) 124 which may be configured in one or more of thewell-known LAN topologies, e.g. star, daisy chain, etc., and may use avariety of different protocols, such as Ethernet, TCP/IP, etc. Theexemplary computer devices 116 and 118 may communicate with each otherand with other computers and other devices which are coupled with theLAN 124. Computer and other devices may be coupled with the LAN 124 viatwisted pair wires, coaxial cable, fiber optics or other wired orwireless media. As shown in FIG. 1, an exemplary wireless personaldigital assistant device (“PDA”) 122, such as a mobile telephone, tabletbased compute device, or other wireless device, may communicate with theLAN 124 and/or the Internet 126 via radio waves, such as via Wi-Fi,Bluetooth and/or a cellular telephone based data communicationsprotocol. PDA 122 may also communicate with exchange computer system 100via a conventional wireless hub 128.

FIG. 1 also shows the LAN 124 coupled with a wide area network (“WAN”)126, such as via a network gateway or router (not shown), which may becomprised of one or more public or private wired or wireless networks.In one embodiment, the WAN 126 includes the Internet 126. The LAN 124may include a router to connect LAN 124 to the Internet 126. Exemplarycomputer device 120 is shown coupled directly to the Internet 126, suchas via a modem, DSL line, satellite dish or any other device forconnecting a computer device to the Internet 126 via a service providertherefore as is known. LAN 124 and/or WAN 126 may be the same as thenetwork 2520 shown in FIG. 25 and described below with respect thereto.

As was described above, the users, i.e. the market participants, of theelectronic trading system 100 may include one or more market makers 130which may maintain a market by providing constant bid and offer pricesfor a derivative or security to the electronic trading system 100, suchas via one of the exemplary computer devices depicted. The electronictrading system 100 may also exchange information with other tradeengines, such as trade engine 138. One skilled in the art willappreciate that numerous additional computers and systems may be coupledto electronic trading system 100. Such computers and systems may includeclearing, regulatory and fee systems.

The operations of computer devices and systems shown in FIG. 1 may becontrolled by computer-executable instructions stored on anon-transitory computer-readable medium. For example, the exemplarycomputer device 116 may include computer-executable instructions forreceiving order information from a user and transmitting that orderinformation to the electronic trading system 100. In another example,the exemplary computer device 118 may include computer-executableinstructions for receiving market data from the electronic tradingsystem 100 and displaying that information to a user.

Of course, numerous additional servers, computers, handheld devices,personal digital assistants, telephones and other devices may also beconnected to the electronic trading system 100. Moreover, one skilled inthe art will appreciate that the topology shown in FIG. 1 is merely anexample and that the components shown in FIG. 1 may include othercomponents not shown and be connected by numerous alternativetopologies.

A. Deterministic Redundant Architecture

FIG. 2 shows a block diagram depicting, in more detail, the match engine106 and order processor 138 function of the electronic trading system100, according to one embodiment. It will be understood that numbersshown in parentheses next to arrows in this figure and in the otherfigures are indicative of one exemplary order of data flow through thedepicted system and show how data/transactions enter the electronictrading system's 100 physical network layer 202 and are routed,processed and/or transformed by the components shown in the figure anddescribed herein. As shown in FIG. 2, the electronic trading system 100includes a interconnecting infrastructure, such as a physicalcommunication network 202, which may include network devices such asgateways, switches, and interconnecting media there between, such asbackplane interconnects, optical and electrical communications media orother wired or wireless interconnect. The interconnecting infrastructuregenerally couples the various components of the electronic tradingsystem 100 together and with market participant devices 204 as wasdescribed.

The electronic trading system 100, as described above, includes a matchengine function 106 which may be implemented by one or more sets 206 ofredundant transaction processors 208, i.e. match engines. While a singleset 206 of match engines 208 will be described herein, it will beappreciated that many such sets 206 may be implemented both to improvefault tolerance through redundant operation and to increase thetransaction handling capacity of the electronic trading system 100.

Coupled with the set 206 of redundant match engines 208 via theinterconnecting infrastructure is the order processing function 138 ofthe electronic trading system. In one embodiment, the order processingfunction 138 is implemented on one or more FPGA devices, i.e. by one ormore logic components thereof, coupled with the network gateway device(not shown), such as via a backplane interconnect, through whichincoming transactions ingress the electronic trading system 100 andoutgoing messages egress the electronic trading system 100. The networkgate way device is further coupled with the interconnectinginfrastructure to which the set 206 of match engines 208 are alsocoupled. It will be appreciated that the set 206 of transactionprocessors may be coupled with the order processing function 138 viaother means such as a dedicated interconnection there between. Further,as was discussed above, the disclosed mechanisms may be implemented atany logical and/or physical point(s) through which the relevant messagetraffic, and responses thereto, flows or is otherwise accessible,including one or more gateway devices, modems, the computers orterminals of one or more traders, etc.

As was described above, the order processing function 138 receivesincoming transactions from the market participants 204 and ensuresdeterministic processing thereof, i.e. that the incoming transactionsare processed according to the defined business rules of the electronictrading system 100, e.g. in the order in which they are received by theorder processing function 138. Further, the order processing function138 receives the output of each of the redundant match engines 208 ofthe set 206 and evaluates those results to determine the correct result.The order processing function 138 may then further generate, or cause tobe generated, appropriate acknowledgements and/or market data basedthereon which are then communicated to the market participants 204.

In particular, FIG. 2 depicts a block diagram of a system 200, which mayalso be referred to as an architecture, for processing a plurality, e.g.a series or sequence, of financial transactions, such as orders to tradea financial product, received via a network, such as the network 126 ofFIG. 1, from a plurality of market participants 204, the processing ofeach transaction operative to cause a change in a current state of anelectronic marketplace for one or more financial products. In oneembodiment, each transaction may comprise a request to transact, e.g. anorder to buy or sell, one or more financial products. A request totransact may further comprise an request to cancel a previoustransaction, a status inquiry or other transaction.

The system 200 includes a transaction receiver 210, e.g. an orderer asdescribed above, which may be implemented as one or more logiccomponents such as on an FPGA which may include a memory orreconfigurable component to store logic and processing component toexecute the stored logic, coupled with the network 126, such as via theinterconnection infrastructure 202, and operative to receive each of theplurality of financial transactions and, upon receipt, augment, orotherwise ascribe or associate with, the received financial transactionwith sequence data, such as an ordering or sequence number, indicativeof a relationship, temporal or otherwise based on business rules/logic,e.g. a deterministic relationship, between the received financialtransaction, e.g. the time of receipt thereof, and any of the pluralityof financial transactions, e.g. the times of receipt thereof, previouslyand/or subsequently received by the transaction receiver 210. Theascribed ordering may then implicitly define the relationship with thosetransactions received thereafter. In one embodiment, the ordering may bea time stamp or, alternatively, an incremented sequence number.

The system 200 also includes a plurality 206 of transaction processors208, e.g. match engines, coupled with the transaction receiver 210, suchas via the communications infrastructure 202, each of the plurality 206of transaction processors 208 operative to receive each of the augmentedfinancial transactions and process, e.g. apply the businesslogic/matching algorithm to, the received augmented financialtransaction in accordance with the sequence data to determine the changein the current state of the electronic marketplace caused thereby. Aswas described above, the processing is irrespective of the sequence inwhich each of the augmented financial transactions are received from theorderer, which my be different from the relationship indicated by thesequence data and which may result in a different change in the state ofthe electronic marketplace.

In one embodiment of the system 200, the processing of receivedaugmented financial transactions implements a central limit order bookof a financial market for at least one financial instrument.

In one embodiment of the system 200, each of the plurality 206transaction processors 208 operates asynchronously with respect to theothers of the plurality 206 of transaction processors 208, but, ifoperating properly, process the augmented financial transactions the,same, i.e. according to the sequence data and the applicable businessrules. It will be appreciated that transaction processors 208 ofredundant set 206 may be added or removed at will

In one embodiment of the system 200 wherein the relationship indicatedby the sequence data of a particular augmented financial transactionwith respect to others of the augmented financial transactions isdifferent from a relationship indicated by the order of receipt by oneor more of the plurality of transaction processor of the particularaugmented financial transaction with respect to the others of theaugmented financial transactions, such as due to underlying processingpriorities, transmission and/or routing anomalies, and would result in adifferent state change in the electronic marketplace.

In one embodiment of the system 200, each of the financial transactionscomprises a request to transact in one of the one or more financialproducts, the processing of each augmented financial transactionscomprising identifying whether a previously processed augmentedfinancial transaction remains incomplete and is counter thereto and, ifso, indicating that a transaction there between may be completed, and ifnot, indicating that data indicative of the availability of theaugmented financial transaction be stored in a database.

The system 200 further includes a result arbiter 212, e.g. a decider asdescribed above, which may be implemented as one or more logiccomponents such as on the same or a different FPGA as the orderer 210,coupled with each of the plurality 206 of transaction processors 208,such as via the communications infrastructure 202, and operative toreceive therefrom at least one of the determined changes in the state ofthe electronic marketplace for each processed augmented financialtransaction and, based thereon, determine a selected change in thecurrent state of the electronic marketplace for the processed augmentedfinancial transaction and apply the selected change in the current stateof the electronic marketplace to update the state of the electronicmarketplace, the current state of the electronic marketplace nowreflective thereof.

In one embodiment of the system 200, the transaction receiver 210 andresult arbiter 212 are implemented in a network switch coupled with thedata link layer/network layer of the communications infrastructure.

In one embodiment of the system 200, the result arbiter 212 is operativeto compare the received determined changes in the state of theelectronic marketplace for each processed augmented financialtransaction, and determine the selected change in the current state ofthe electronic market place to be the received determined change in thestate of the electronic marketplace for each processed augmentedfinancial transaction provided by, for example, the majority or a quorumof the plurality of transaction processors.

In one embodiment, the system 200, the result arbiter 212 may furtherdetermine that a transaction processor 208 of the plurality 206 oftransaction processors 208 is faulty when the determined change in thestate of the electronic marketplace for a processed augmented financialtransaction received therefrom fails to agree with the he determinedchanges in the state of the electronic marketplace for a processedaugmented financial transaction received from at least one other of theplurality 206 of transaction processors 208. The determination may besubject to a time delay threshold defining an amount of time which mustelapse without having received a result before a fault is declared. Aswill be described, this threshold may be defined so as to preventdetermination of a fault when a delayed result is expected, such as whena particular transaction processor 208 is known to be performingmaintenance operations or is otherwise busy, offline or deactivated.

For example, in one embodiment of the system 200, each of the plurality206 of transaction processors 208 is operative to periodically performone or more other functions, such as maintenance, e.g. garbagecollection, during which augmented financial transactions are notprocessed or processing is delayed. In this embodiment, each of theplurality 206 of transaction processor 208 may be further configured tonot perform the one or more other functions contemporaneously with theperformance of the on or more other functions by the remaining of theplurality 206 of transaction processors 208. Alternatively, more thanone transaction processor 208 may be allowed to perform other operationsassuming a sufficient number are remaining to meet a requisite level offault tolerance.

In one embodiment of the system 200, the plurality of financialtransactions may further include a plurality of administrativetransactions, each of may or may not cause a change in the current stateof the electronic marketplace. Such administrative transactions mayinclude instructions to configure the transaction processors 208, suchas to synchronize their operation or cause them to perform maintenanceor other operations.

FIG. 3 depicts a flow chart 300 showing operation of the system 200 ofFIG. 2. In particular FIG. 3 shows a computer and/or FPGA implementedmethod for processing a plurality, e.g. a series or sequence, offinancial transactions, such as orders to trade a financial product,received via a network, such as the network 126 of FIG. 1, from aplurality of market participants 204, the processing of each transactionoperative to cause a change in a current state of an electronicmarketplace for one or more financial products. In one embodiment, eachtransaction may comprise a request to transact, e.g. an order to buy orsell, one or more financial products. A request to transact may furthercomprise an request to cancel a previous transaction, a status inquiryor other transaction.

The operation of the system 200 includes receiving, by a transactionreceiver 210 from the network 126, such as via the interconnectioninfrastructure 202, each of the plurality of financial transactions and,upon receipt, augmenting or otherwise ascribing or associating with, thereceived financial transaction with sequence data, such as an orderingor sequence number, indicative of a relationship, temporal or otherwisebased on business rules/logic, e.g. a deterministic relationship,between the received financial transaction, e.g. the time of receiptthereof, and any of the plurality of financial transactions, e.g. thetimes of receipt thereof, previously and/or subsequently received by thetransaction receiver 210 (Block 302). The ascribed ordering may thenimplicitly define the relationship with those transactions receivedthereafter. In one embodiment, the ordering may be a time stamp or,alternatively, an incremented sequence number.

The operation of the system 200 further includes receiving, by each of aplurality 206 of transaction processors 208, e.g. match engines, coupledwith the transaction receiver 210, such as via the communicationsinfrastructure 202, each of the augmented financial transactions andprocessing, e.g. apply the business logic/matching algorithm to, thereceived augmented financial transaction in accordance with the sequencedata to determine the change in the current state of the electronicmarketplace caused thereby (Block 304). As was described above, theprocessing is irrespective of the sequence in which each of theaugmented financial transactions are received from the orderer, which mybe different from the relationship indicated by the sequence data andwhich may result in a different change in the state of the electronicmarketplace.

In one embodiment of the operation of the system 200, the processing ofreceived augmented financial transactions implements a central limitorder book of a financial market for at least one financial instrument.

In one embodiment of the operation of the system 200, each of theplurality 206 transaction processors 208 operates asynchronously withrespect to the others of the plurality 206 of transaction processors208, but, if operating properly, process the augmented financialtransactions the, same, i.e. according to the sequence data and theapplicable business rules. It will be appreciated that transactionprocessors 208 of redundant set 206 may be added or removed at will

In one embodiment of the operation of the system 200 wherein therelationship indicated by the sequence data of a particular augmentedfinancial transaction with respect to others of the augmented financialtransactions is different from a relationship indicated by the order ofreceipt by one or more of the plurality of transaction processor of theparticular augmented financial transaction with respect to the others ofthe augmented financial transactions, such as due to underlyingprocessing priorities, transmission and/or routing anomalies, and wouldresult in a different state change in the electronic marketplace.

In one embodiment of the operation of the system 200, each of thefinancial transactions comprises a request to transact in one of the oneor more financial products, the processing of each augmented financialtransactions comprising identifying whether a previously processedaugmented financial transaction remains incomplete and is counterthereto and, if so, indicating that a transaction there between may becompleted, and if not, indicating that data indicative of theavailability of the augmented financial transaction be stored in adatabase.

The operation of the system 200 further includes receiving, by a resultarbiter 212, e.g. a decider as described above, which may be implementedas logic component such as on the same or a different FPGA as theorderer 210, coupled with each of the plurality 206 of transactionprocessors 208, such as via the communications infrastructure 202, atleast one of the determined changes in the state of the electronicmarketplace for each processed augmented financial transaction (Block306) and, based thereon, determining a selected change in the currentstate of the electronic marketplace for the processed augmentedfinancial transaction and applying the selected change in the currentstate of the electronic marketplace to update the state of theelectronic marketplace, the current state of the electronic marketplacenow reflective thereof (Block 308).

In one embodiment of the operation of the system 200, the transactionreceiver 210 and result arbiter 212 are implemented in a network switchcoupled with the data link layer/network layer of the communicationsinfrastructure.

In one embodiment of the operation of the system 200, the operationfurther includes comparing the received determined changes in the stateof the electronic marketplace for each processed augmented financialtransaction, and determining the selected change in the current state ofthe electronic market place to be the received determined change in thestate of the electronic marketplace for each processed augmentedfinancial transaction provided by, for example, the majority or a quorumof the plurality 206 of transaction processors 208.

In one embodiment, the operation of the system 200 further includesdetermining that a transaction processor 208 of the plurality 206 oftransaction processors 208 is faulty when the determined change in thestate of the electronic marketplace for a processed augmented financialtransaction received therefrom fails to agree with the he determinedchanges in the state of the electronic marketplace for a processedaugmented financial transaction received from at least one other of theplurality 206 of transaction processors 208 (Block 310). Thedetermination may be subject to a time delay threshold defining anamount of time which must elapse without having received a result beforea fault is declared. As will be descried, this threshold may be definedso as to prevent determination of a fault when a delayed result isexpected, such as when a particular transaction processor 208 is knownto be performing maintenance operations or is otherwise busy, offline ordeactivated.

For example, in one embodiment of the operation of the system 200, eachof the plurality 206 of transaction processors 208 is operative toperiodically perform one or more other functions, such as maintenance,e.g. garbage collection, during which augmented financial transactionsare not processed or processing is delayed. In this embodiment, each ofthe plurality 206 of transaction processor 208 may be further configuredto not perform the one or more other functions contemporaneously withthe performance of the on or more other functions by the remaining ofthe plurality 206 of transaction processors 208. Alternatively, morethan one transaction processor 208 may be allowed to perform otheroperations assuming a sufficient number are remaining to meet arequisite level of fault tolerance.

In one embodiment of the operation of the system 200, the plurality offinancial transactions may further include a plurality of administrativetransactions, each of may or may not cause a change in the current stateof the electronic marketplace. Such administrative transactions mayinclude instructions to configure the transaction processors 208, suchas to synchronize their operation or cause them to perform maintenanceor other operations.

B. Direct Market Instrumentation

Referring now to FIG. 4, there is shown a block diagram depicting asystem 400 for reproducing a state of an electronic marketplace for oneor more financial products resulting from processing, by a financialtransaction processing system 100, such as the electronic trading system100 described herein, of a plurality of financial transactions receivedfrom a plurality of market participants, the processing of each of whichcauses a change in at least an intermediate state of the electronicmarketplace. In one embodiment, the system 400 is implemented as part ofthe matching function 106 of the electronic trading system 100. It willbe appreciated that the system 400 may be implemented as part of otherfunctions of the electronic trading system 100, or otherwise coupledwith the communications infrastructure 202, which as described above,interconnects the various components of the electronic trading system100. In one embodiment, the system 400 is implemented as areconfigurable logic device, e.g. FPGA, coupled with the orderer 210and/or decider 212 described above and, in one implementation, isimplemented on the same FPGA device.

The system 400 includes a transaction receiver 402, which may beimplemented as one or more logic components of an FPGA, such as the sameFPGA in which the orderer 210 and decider 212 are implemented asdescribed above, or otherwise coupled therewith, such as via the networkdevice backplane. Alternatively, the transaction receiver 402 may beimplemented as logic, such as computer program logic, stored in a memoryand executable by a processor coupled therewith to cause the processorto act as described. The transaction receiver 402 is coupled with amemory 404, which may be a component of the FPGA or a memory deviceseparate therefrom, and may be implemented as a solid state, magnetic oroptical memory device. The transaction receiver 402 is operative toreceive each of the plurality of financial transactions and furtheroperative to store data representative thereof in the memory 404.

The system 400 further includes a transaction retriever 406, which maybe implemented as the same one or more logic components as thetransaction receiver 402 or a different one or more logic components ofan FPGA, such as the same FPGA in which the transaction receiver 402 isimplemented, the orderer 210 and decider 212 are implemented asdescribed above, or otherwise coupled therewith, such as via the networkdevice backplane. Alternatively, the transaction retriever 406 may beimplemented as logic, such as computer program logic, stored in a memoryand executable by a processor coupled therewith to cause the processorto act as described. The transaction retriever 402 is coupled with thememory 404 and operative to receive an indication of a state of theelectronic market place, such as a specification of a particular stateor a state at a given moment in time, to be reproduced and retrieve asubset of the data stored in the memory 404 representative of theplurality of transactions the processing of which would result in thestate of the electronic marketplace to be reproduced.

In one embodiment of the system 400, the transaction retriever 406 isfurther operative to determine a state of the electronic marketplace tobe reproduced, retrieve from the memory 404 the stored datarepresentative of the financial transactions necessary to reproduce thestate of the electronic marketplace to be reproduced and simulateexecution of the transactions represented thereby to generate asimulated electronic marketplace having the reproduced state.

In one embodiment of the system 400, the transaction retriever 406 isfurther operative to determine a state of the electronic marketplace ofinterest, such as based on increased market or price volatility, a rapidprice spike or decline in for the traded financial product, a tradeorder or price change velocity increase/decrease or combinationsthereof, and further evaluate the stored data to identify two or moresubsets of financial transactions the execution of which would result inthe state of the electronic marketplace of interest.

In one embodiment of the system 400, the system 400 further includes apattern identifier 408 which may be implemented as a separate one ormore logic components or integrated with the transaction receiver 402and/or transaction retriever 406, or may be implemented as computerprogram logic stored in a memory and executable by a processor coupledtherewith to cause the processor to perform as described herein. ThePattern identifier 408 is coupled with the transaction retriever 406 andmemory 404 and, based on the state of the electronic marketplace, isoperative to identify one or more patterns, e.g. indicators orindications, of two or more subsets of financial transactions, such ascommonalities there among, e.g. same market participant, orders followedby a cancellation thereof in rapid succession, etc., which resulted inthat market state and, for example, may be indicative of fraud,irrational or errant (fat finger) behavior. When a detrimental marketevent, i.e. a particular change in the state of the market place, isdetermined to have occurred, such as a rapid price increase or decline,extreme volatility or other event as defined by the operators of theelectronic trading system 100, the pattern identifier 408 may analyzethe stored transactional data to determine the pattern of transactionactivity leading thereto and store data representative of that patternin pattern memory or buffer to be used to compare against subsequentlyreceived transactions to proactively avoid the resultant detrimentaleffects on the market.

In one embodiment of the system 400, the system 300 further includes atransaction monitor 410 which may be implemented as a separate one ormore logic components or integrated with the transaction receiver 402and/or the transaction retriever 406, or may be implemented as computerprogram logic stored in a memory and executable by a processor coupledtherewith to cause the processor to perform as described herein. Thetransaction monitor 410 is coupled with the pattern identifier 408 andthe transaction receiver and operative to monitor the receipt of each ofa future/subsequently received plurality of financial transactions anddetect and/or generate an alert when at least a portion of one or moreof the patterns occurs therein. In one embodiment, as transactions arereceived they, or data indicative thereof, are stored/accumulated in amemory or buffer, e.g. a pattern matching buffer (not shown), which isperiodically, such as upon receipt of each transaction, compared withone or more stored transactional patterns and if a match is identified,the operators of the electronic trading system 100 are notified, such asvia an alert. The pattern matching buffer may implement a sliding windowwherein it only holds a fixed number of the most recent transactionswherein, as new transactions are received and stored, the oldesttransactions in the buffer are discarded. The buffer may be sized tohold a meaningful number of transactions to detect and react to theparticular activities of interest which may only become evident over thecourse of multiple transactions. In one embodiment, the pattern matchingbuffer may comprise the input to a content addressable memory (“CAM”)wherein the pattern addresses a stored indication of the type ofactivity the pattern represents. This would permit rapid identificationof, as well as response to, activity of interest. A filter may furtherbe provided so that only transaction meeting particular criteria, suchas being from a particular market participant and/or for a particulartraded financial product, are stored in the buffer for pattern matching.

In one embodiment of the system 400, the transaction retriever 406 isfurther operative to allow the stored data representative of one or moreof a subset of the financial transactions to be modified to modify theone or more financial transaction represented thereby and simulateexecution of the subset of financial transactions, including the one ormore modified financial transactions, to generate a simulated electronicmarketplace having a state resulting therefrom which may be differentthen the state of the electronic marketplace which would result fromexecution of the unmodified subset of financial transactions.

In one embodiment of the system 400, the system 400 further incudes aresidual effect processor 412 which may be implemented as a separate oneor more logic components or integrated with the transaction receiver 402and/or transaction retriever 406, or may be implemented as computerprogram logic stored in a memory and executable by a processor coupledtherewith to cause the processor to perform as described herein. Theresidual effect processor 412 is coupled with the transaction retriever406 and operative, for a particular state of the electronic marketplace,determine the stored data representative of all of the financialtransactions which contributed to achieving the particular state, orconversely, all of the transactions which did not contribute to theparticular state. This data may then be used to identify only thosetransactions, out of all of the stored transactions which may beintertwined therewith, necessary to replicate a particular market state,reducing the number of transactions necessary to be simulated toreproduce that state.

It will be appreciated that reexecution, e.g. replay, of storedtransactions may be accomplished by reexecuting those transactionsthrough the match engines as though they had been received via thenormal operation of the electronic trading system, such as by submittingeach transaction through the orderer 210. This could then be used tofurther test the electronic trading system 100 for deterministicbehavior by confirming that the result of the reexecution oftransactions yields the same result as when those transactions werefirst executed. Alternatively, transactions may be reexecuted onseparate, e.g. test, match engines or simulations or models thereof.

FIG. 5 depicts a flow chart 500 showing operation of the system 400 ofFIG. 4. In particular FIG. 5 shows a computer implemented method forreproducing a state of an electronic marketplace for one or morefinancial products resulting from processing, by a financial transactionprocessing system, of a plurality of financial transactions receivedfrom a plurality of market participants, the processing of each of whichcauses a change in at least an intermediate state of the electronicmarketplace. The operation of the system 400 includes: receiving, by aprocessor, such as a logic component of a reconfigurable logic device,e.g. FPGA, coupled with a memory, each of the plurality of financialtransactions and operative to store data representative thereof in thememory (Block 502); and receiving, by the processor, i.e. the same ordifferent logic component, an indication of a state of the electronicmarket place, e.g. a specification of a particular state or a state at agiven moment in time, to be reproduced and retrieving a subset of thedata stored in the memory representative of the plurality oftransactions the processing of which would result in the state of theelectronic marketplace to be reproduced (Block 504).

In one embodiment of the operation of the system 400, the operationfurther includes determining a state of the electronic marketplace to bereproduced (Block 506), retrieving from the memory 404 the stored datarepresentative of the financial transactions necessary to reproduce thestate of the electronic marketplace to be reproduced (Block 508) andsimulating execution of the transactions represented thereby to generatea simulated electronic marketplace having the reproduced state (Block510).

In one embodiment of the operation of the system 400, the operationfurther includes determining a state of the electronic marketplace ofinterest, such as based on increased market or price volatility, a rapidprice spike or decline in for the traded financial product, a tradeorder or price change velocity increase/decrease or combinationsthereof, (Block 512) and further evaluating the stored data to identifytwo or more subsets of financial transactions the execution of whichwould result in the state of the electronic marketplace of interest(Block 514).

In one embodiment of the operation of the system 400, the operationfurther includes identifying one or more patterns, e.g. indicators orindications, of two or more subsets of financial transactions, such ascommonalities there among, e.g. same market participant, orders followedby a cancellation thereof in rapid succession, etc., which resulted inthat market state and, for example, may be indicative of fraud,irrational or errant (fat finger) behavior (Block 516). When adetrimental market event, i.e. a particular change in the state of themarket place, is determined to have occurred, such as a rapid priceincrease or decline, extreme volatility or other event as defined by theoperators of the electronic trading system 100, the operation of thesystem 400 may include analyzing the stored transactional data todetermine the pattern of transaction activity leading thereto and storedata representative of that pattern in pattern memory or buffer to beused to compare against subsequently received transactions toproactively avoid the resultant detrimental effects on the market (Block518).

In one embodiment of the operation of the system 400, the operation mayfurther include monitoring the receipt of each of a future/subsequentlyreceived plurality of financial transactions and (Block 520) detectingand/or generating an alert when at least a portion of one or more of thepatterns occurs therein (Block 522). In one embodiment, as transactionsare received they, or data indicative thereof, are stored/accumulated ina memory or buffer, e.g. a pattern matching buffer (not shown), which isperiodically, such as upon receipt of each transaction, compared withone or more stored transactional patterns and if a match is identified,the operators of the electronic trading system 100 are notified, such asvia an alert. The pattern matching buffer may implement a sliding windowwherein it only holds a fixed number of the most recent transactionswherein, as new transactions are received and stored, the oldesttransactions in the buffer are discarded. The buffer may be sized tohold a meaningful number of transactions to detect and react to theparticular activities of interest which may only become evident over thecourse of multiple transactions. In one embodiment, the pattern matchingbuffer may comprise the input to a content addressable memory (“CAM”)wherein the pattern addresses a stored indication of the type ofactivity the pattern represents. This would permit rapid identificationof, as well as response to, activity of interest. A filter may furtherbe provided so that only transaction meeting particular criteria, suchas being from a particular market participant and/or for a particulartraded financial product, are stored in the buffer for pattern matching.

In one embodiment of the operation of the system 400, the operationfurther includes allowing the stored data representative of one or moreof a subset of the financial transactions to be modified to modify theone or more financial transaction represented thereby (Block 524) andsimulating execution of the subset of financial transactions, includingthe one or more modified financial transactions, to generate a simulatedelectronic marketplace having a state resulting therefrom which may bedifferent then the state of the electronic marketplace which wouldresult from execution of the unmodified subset of financial transactions(Block 526).

In one embodiment of the operation of the system 400, the operationincludes, for a particular state of the electronic marketplace,determining the stored data representative of all of the financialtransactions which contributed to achieving the particular state, orconversely, all of the transactions which did not contribute to theparticular state. This data may then be used to identify only thosetransactions, out of all of the stored transactions which may beintertwined therewith, necessary to replicate a particular market state,reducing the number of transactions necessary to be simulated toreproduce that state.

C. Customized Market Data

As was described above, in one embodiment market data feeds can becustomized, e.g. field order, custom additional fields, removal ofunnecessary fields, custom data format/protocol, etc., to thepreferences of the recipient thereof, such as a subscribing marketparticipant, without prejudicing the latency of the data as comparedwith the transmission of the market data feed to other recipients, e.g.subscribers to a differently customized market data feed,non-subscribers receiving the generic/standard market data feed, etc.Customizations may include customized augmentation of the market datawith additional “value added data” whereby optional data values, such asGreeks, describe above, or other analytics, etc., ordinarilycomputed/derived by a recipient upon receipt of market data, can bepre-computed/pre-derived and inserted into the market data prior totransmission to a subscribing recipient, alleviating the need for therecipient to implement such computations upon receipt. As the time oftransmission of market data to all recipients is normalized as the dataleaves the electronic trading system 100 on its way to all recipients,subscribing recipients benefit from not having to incur the delayassociated with computing such values and, relative to other market datarecipients, can begin processing the market data upon receipt. Othercustomizations may include custom reordering of the individual datafields of each market data message such that, for example, critical datafields of each message are received first by the recipient's incomingmessage processors and/or the message format is normalized to a formatconsistent with the format of other messages received by the recipientfrom other sources which may then simplify the processing thereof.

In one embodiment, customization of market data is implemented as partof the matching and/or market data functions 106, 112 of the electronictrading system 100. It will be appreciated that customization of marketdata may be implemented as part of other functions of the electronictrading system 100, or divided there among, or otherwise coupled withthe communications infrastructure 202, which as described above,interconnects the various components of the electronic trading system100. In one embodiment, customizations are applied, as described below,at the time the market data is generated to generate both thegeneric/standard market data messages and customized market datamessages, which are then conveyed to the edge/egress point of theelectronic trading system, e.g. the network gateway, to be forwarded orotherwise distributed to the market data recipients. Alternatively,computed data values and/or other value added data may be generated orotherwise derived substantially in real time with the generation ofmatch event data or otherwise close thereto, such as by a componentcoupled with the decider 212, and conveyed, along with the genericmarket data messages, to the edge/egress point of the electronic tradingsystem 100 where the customized market data messages are created basedon the generic messages and the value added data and theforwarded/distributed to the respective market data recipients.Alternatively, computed data values and/or other value added data may begenerated or otherwise derived substantially in real time with thegeneration of match event data or otherwise close thereto, such as by acomponent coupled with the decider 212, wherein all of thegenerated/derived values are added to the market data messages which aresubsequently sent to an egress component, such as a network gateway, fortransmission to the market participants 204. At the egress componentprior to forwarding/distribution of the market data messages to themarket data recipients, the market data messages may be customized, e.g.replicated and modified, via, for example, the subtraction of datavalues which are not to be sent to particular market participants,reordering of data fields and/or application of other customizations,e.g. based on their preference data as will be described. Furthermore,it will be appreciated that the functions described below relating toimplementing preference-based discrimination among market datarecipients, receiving and maintaining customization preferences,calculating and/or receiving compensation therefore, and otherwiseenabling the provision of customized market data as a service,subscription or otherwise, may be implemented as part of the user and/ortrading account management systems 102, 104 of the electronic tradingsystem 100 or otherwise separately from the functions which implementthe generation, customization and transmission of the market datamessages.

In one embodiment of the electronic trading system 100, as shown in FIG.6, comprising the orderer 210/decider 212/redundant match engine 206architecture described above, a market data/analytics generator andcustomization component 602 may be may be provided which, as will bedescribed, receives match event data, described above, from the decidercomponent 212 and generates both the generic/standard, as well as thecustomized, market data/analytics messages. The generation of marketdata messages may include processing the match event data to compute,derive, parse, modify, convert and or transform that data to generate atleast one message, which may include fields in which the data iscontained, format the message in a protocol, such as the FIX/FASTprotocol described above, generate a data packet, such as conforming tothe Transport Control Protocol (“TCP”) and/or Internet Protocol, UserDatagram Protocol (“UDP”) or other protocol, or combinations thereof. Itwill be appreciated that the market data/analytics generator andcustomization component 602 may include separate components for thegeneration of market data messages and the customization of thosemessages as will be described.

In one embodiment, at least a portion of the market data/analyticsgenerator/customization component 602 may be implemented as one or morelogic components of a reconfigurable logic device, e.g. an FPGA, and mayimplemented on the same, or a different reconfigurable logic device asthe decider 212 and/or orderer 210. It will be appreciated thatdisclosed market data/analytics customization component 602 may beimplemented in conjunction with a conventional match engine architectureas well so as to receive match event data therefrom. As describedherein, market data is transmitted to market participants 204 which mayinclude both traders/trading customers 604 and market datarecipients/consumers 606, such as news or reporting entities, and/ormarket data resellers/aggregators, which may receive and then resell,such as after aggregating with data from other sources, e.g. othertrading systems, electronic or otherwise, analysis, etc., or otherconsumers of market data.

Referring now to FIG. 7 there is shown a more detailed block diagram ofthe market data/analytics customization component 602. In particular,FIG. 7 shows a system 700 for generating, transmitting and/or otherwisemanaging communication of a plurality of financial data messages to aplurality of market participants via a network, each of the plurality offinancial data messages comprising, for example, data indicative of achange in state of an electronic marketplace for one or more financialproducts, e.g. market data, such as based on received orders and/orcancelation thereof, matched trades, price changes, etc. The pluralityof financial data messages may include message types which carry datarepresentative of, or otherwise represent the marketplace, or changes tothe state thereof, in different ways such as market by order messages,market by price messages, top of book messages, analytics messages, orother representations or combinations thereof. It will be appreciatedthat the disclosed embodiments may allow a recipient to receive all, orotherwise choose among, the different available messages types/marketrepresentations. Financial data messages, or a series thereof, of aparticular type may be referred to as a stream or market data stream,e.g. a market by order stream, a market by price stream, a top of bookstream, etc. These market data streams may be independently generated,subscribed to and modified according to the disclosed embodiments.Alternatively, one or more of these data streams may be generated in acombined fashion, subscribed to and modified according to the disclosedembodiments. As used herein, the plurality of financial messages willrefer all financial data messages generated as described wherein one ormore subsets of the plurality of financial data messages may be of aparticular type.

The system 700 includes a message preference processor 704 which may beimplemented as one or more logic components of an FPGA, such as the sameFPGA in which the orderer 210 and decider 212 are implemented asdescribed above, or otherwise coupled therewith, such as via the networkdevice backplane. Alternatively, the message preference processor 704may be implemented as logic, such as computer program logic, stored in amemory and executable by a processor coupled therewith to cause theprocessor to act as described. As described above, message preferenceprocessor 704 may be implemented as part of the user/account managementfunctions 102, 104 of the electronic trading system 100 or otherwiseseparate from the implementation of the generation and customization ofthe market data messages as described.

In one embodiment, the message preference processor 704 is operative toreceive preference data from at least one of the plurality of marketparticipants 204, e.g. those wishing to receive customized market data,and store the preference data in a memory 714 coupled therewith inassociation with data representative of the market participant 204 fromwhich it was received, the preference data specifying one or morefinancial data message modifications. The one or more financial datamessage modifications may include modifying the message content, themessage format, e.g. the arrangement of the content and/orprotocol/structure, an encoding, or combination thereof, of thefinancial data message. For example, wherein each of the plurality offinancial data messages comprises a plurality of data fieldscharacterized by an arrangement, the one or more financial data messagemodifications may include modifying the arrangement of the data fields,e.g. such that desired fields are transmitted/arrive first, such thatthe arrangement is similar/normalized to data messages received fromother sources, etc.

In one embodiment, the message preference processor further comprises aconfiguration user interface, not shown, such as an HTML based interfaceavailable via the world wide web using a browser program such asInternet Explorer, operative to allow the at least one marketparticipant to provide, modify, delete or combinations thereof, theirassociated preference data. For example, a market participant who wishesto subscribe to a customized market data stream may access the web baseduser interface and create an account, or otherwise utilize theirelectronic trading system 100 credentials to access/create an accountwhich then provides the ability to specify desired customizations. Theinterface may provide various options from which the market participantmay choose. It will be appreciated that other methods by which a marketparticipant may specify customization preferences may be utilized, suchas sending a configuration data file specifying desired customizationsettings to the electronic trading system, such as via e-mail, FTP orother means. Alternatively, the electronic trading system 100 mayprovide a telephone based interface via which the market participantspecifies their desired customizations, such as via an interactive voiceresponse system or a live operator.

In one embodiment, the market participant may be limited to choosingfrom among a set of predefined combinations of available customizations,e.g. templates. Alternatively, the market participant may be permittedto freely customize all of the available customizable aspects of themarket data messages. In one embodiment, a sufficient range ofcustomizations is provided such that the modified financial data messagerequires no further modification upon receipt by the associated marketparticipant. It will be appreciated that the degree of customizationafforded the market participant may be associated with different feeamounts or subscription levels, e.g. greater customization is associatedwith a higher one-time or recurring subscription fee, depending upon theimplementation. It will be appreciated that all market participants maybe required to specify preference data even if their preference dataspecifies that they do not wish to receive customized market datamessages.

In one embodiment, the system 700 further includes a billing processor716 coupled with the message preference processor 704 and operative tocharge a fee, such as a periodic or one time fee, to the at least onemarket participant which, as described, may vary depending upon thedegree of customization or other factors.

The system 700 further includes a financial data message generator 706which may be implemented as one or more logic components of an FPGA,such as the same FPGA in which the orderer 210 and decider 212 areimplemented as described above, or otherwise coupled therewith, such asvia the network device backplane. Alternatively, the financial datamessage generator 706 may be implemented as logic, such as computerprogram logic, stored in a memory and executable by a processor coupledtherewith to cause the processor to act as described. In one embodiment,the financial data message generator 706 is coupled with the electronicmarketplace, e.g. coupled with the match engine function 106, such asvia the decider 212 as described above, and operative, based on a changeof state therein, e.g. based on the receipt of match event data,described above, to generate a financial data message comprising contentrepresentative thereof. As described above, the financial data messagemay be in the FIX/FAST protocol. It will be appreciated that the formatof the financial data message generated by the financial data messagegenerator 706 may be referred to herein as a “generic” or “standard”format for these messages and may, in fact, comprise any format, such asa format deemed to be most acceptable to a majority of the marketparticipants. As used herein, a customized market data message formatmerely refers to a format that is different from the generic/standardformat, the differences having been specified by receiving market datarecipient, constrained to those aspects of the message format which areallowed to be varied by the electronic trading system 100. As will bedescribed, those market participants which do not provide preferencedata, e.g. non-subscribing market participants, receive market datamessages in this generic/standard format. It will be appreciated, thatin an alternative embodiment, all market participants may be required toprovide preference data, even if their preference is to receive marketdata messages in the generic/standard format.

In one embodiment, the system 700 may further include a derived valuegenerator 712, which may or may not be a part of the financial datamessage generator 706 or financial data message modifier 708 describedbelow, coupled with the financial data message generator 706 andoperative to derive, compute or otherwise calculate one or more derived,computed or calculated values, such as Greeks or other computed(analytical) value, based on the match events or otherwise based on thecontent of the generated financial data message, wherein the one or morefinancial data message modifications include augmentation of thegenerated financial data message to include at least one of the derivedvalues within the content thereof.

The system 700 further includes a financial data message modifier 708which may be implemented as one or more logic components of an FPGA,such as the same FPGA in which the orderer 210 and decider 212 areimplemented as described above, or otherwise coupled therewith, such asvia the network device backplane. Alternatively, the financial datamessage modifier 708 may be implemented as logic, such as computerprogram logic, stored in a memory and executable by a processor coupledtherewith to cause the processor to act as described. In one embodiment,the financial data message modifier 708 is coupled with the preferencedata processor 704 and/or memory 714 in which the preference data isstored and the financial data message generator 706 and operative toreceive the generated financial data message, in the generic/standardformat, and generate, for each market participant 204 having preferencedata stored in association therewith in the memory, a modified financialdata message in accordance with the associated preference data. In anembodiment where all market participants are required to storepreference data, even if that preference data specifies nocustomization, the financial data message modified 708 is furtheroperative to not modify the financial data message for those recipients.It will be appreciated that, in an alternative embodiment, the financialdata message modifier 708 may operate in parallel with the financialdata message generator to receive match event data directly and generatethe customized market data messages, as described, directly, rather thanmodify the generic/standard messages, thereby reducing the latency ingenerating the customized messages as compared to the standard messages.

The system 700 further includes a financial data message transmitter 710which may be implemented as one or more logic components of an FPGA,such as the same FPGA in which the orderer 210 and decider 212 areimplemented as described above, or otherwise coupled therewith, such asvia the network device backplane. Alternatively, the financial datamessage transmitter 710 may be implemented as logic, such as computerprogram logic, stored in a memory and executable by a processor coupledtherewith to cause the processor to act as described. In one embodiment,the financial data message transmitter 710 is coupled with the financialdata modifier 708 and, one embodiment, the financial data messagegenerator 706, and operative to transmit each modified financial datamessage to the market participant 204 for which the modified datamessage was generated, and transmit the original, unmodified financialdata message to the others of the plurality of market participants, i.e.who have not specified any preference data or who have otherwisespecified that they prefer to receive the generic/standard messages. Aswas described above, the financial data message transmitter 710 furtherbe coupled with, or may be implemented at, the edge of, e.g. the pointof data egress from, the electronic trading system 100, such as within agateway, switch or other network device which couples the electronictrading system 100 to an external network which will carry the marketdate messages.

In one embodiment, the financial data message transmitter 710 is furtheroperative to transmit each modified financial data message to the marketparticipant for which the modified data message was generated,substantially contemporaneously, i.e. within a maximum elapse of timethereof so as to be imperceptible to the market participants in receiptthereof, with the transmission of the financial data message, i.e. theunmodified generic/standard message, to the others of the plurality ofmarket participants.

FIG. 8 depicts a flow chart 800 showing operation of the system 700 ofFIG. 7. In particular FIG. 7 shows a method for generating, transmittingand/or otherwise managing communication of a plurality of financial datamessages to a plurality of market participants via a network, each ofthe plurality of financial data messages comprising, for example, dataindicative of a change in state of an electronic marketplace for one ormore financial products, e.g. market data, such as based on receivedorders and/or cancelation thereof, matched trades, price changes, etc.The plurality of financial data messages may include message types whichcarry data representative of, or otherwise represent the marketplace, orchanges to the state thereof, in different ways such as market by ordermessages, market by price messages, top of book messages, analyticsmessages, or other representations or combinations thereof. It will beappreciated that the disclosed embodiments may allow a recipient toreceive all, or otherwise choose among, the different available messagestypes/market representations. Financial data messages, or a seriesthereof, of a particular type may be referred to as a stream or marketdata stream, e.g. a market by order stream, a market by price stream, atop of book stream, etc. These market data streams may be independentlygenerated, subscribed to and modified according to the disclosedembodiments. Alternatively, one or more of these data streams may begenerated in a combined fashion, subscribed to and modified according tothe disclosed embodiments. As used herein, the plurality of financialmessages will refer all financial data messages generated as describedwherein one or more subsets of the plurality of financial data messagesmay be of a particular type.

The operation of the system 700 includes receiving preference data fromat least one of the plurality of market participants 204, e.g. thosewishing to receive customized market data (Block 802), and storing thepreference data in a memory 714 coupled therewith in association withdata representative of the market participant 204 from which it wasreceived, the preference data specifying one or more financial datamessage modifications (Block 804). The one or more financial datamessage modifications may include modifying the message content, themessage format, e.g. the arrangement of the content and/orprotocol/structure, an encoding, or combination thereof, of thefinancial data message. For example, wherein each of the plurality offinancial data messages comprises a plurality of data fieldscharacterized by an arrangement, the one or more financial data messagemodifications may include modifying the arrangement of the data fields,e.g. such that desired fields are transmitted/arrive first, such thatthe arrangement is similar/normalized to data messages received fromother sources, etc.

In one embodiment, the operation of the system 700 further includesproviding a configuration user interface, not shown, such as an HTMLbased interface available via the world wide web using a browser programsuch as Internet Explorer, operative to allow the at least one marketparticipant to provide, modify, delete or combinations thereof, theirassociated preference data (Block 806). For example, a marketparticipant who wishes to subscribe to a customized market data streammay access the web based user interface and create an account, orotherwise utilize their electronic trading system 100 credentials toaccess/create an account which then provides the ability to specifydesired customizations. The interface may provide various options fromwhich the market participant may choose. It will be appreciated thatother methods by which a market participant may specify customizationpreferences may be utilized, such as sending a configuration data filespecifying desired customization settings to the electronic tradingsystem, such as via e-mail, FTP or other means. Alternatively, theelectronic trading system 100 may provide a telephone based interfacevia which the market participant specifies their desired customizations,such as via an interactive voice response system or a live operator.

In one embodiment, the market participant may be limited to choosingfrom among a set of predefined combinations of available customizations,e.g. templates. Alternatively, the market participant may be permittedto freely customize all of the available customizable aspects of themarket data messages. In one embodiment, a sufficient range ofcustomizations is provided such that the modified financial data messagerequires no further modification upon receipt by the associated marketparticipant. It will be appreciated that the degree of customizationafforded the market participant may be associated with different feeamounts or subscription levels, e.g. greater customization is associatedwith a higher one-time or recurring subscription fee, depending upon theimplementation. It will be appreciated that all market participants maybe required to specify preference data even if their preference dataspecifies that they do not wish to receive customized market datamessages.

In one embodiment, the operation of the system 700 further includescharging a fee, such as a periodic or one time fee, to the at least onemarket participant which, as described, may vary depending upon thedegree of customization or other factors.

The operation of the system 700 further includes generating, based on achange of state therein, e.g. based on the receipt of match event data,described above, a financial data message comprising contentrepresentative thereof (Block 810). As described above, the financialdata message may be in the FIX/FAST protocol. It will be appreciatedthat the format of the financial data message generated by the financialdata message generator 706 may be referred to herein as a “generic” or“standard” format for these messages and may, in fact, comprise anyformat, such as a format deemed to be most acceptable to a majority ofthe market participants. As used herein, a customized market datamessage format merely refers to a format that is different from thegeneric/standard format, the differences having been specified byreceiving market data recipient, constrained to those aspects of themessage format which are allowed to be varied by the electronic tradingsystem 100. As will be described, those market participants which do notprovide preference data, e.g. non-subscribing market participants,receive market data messages in this generic/standard format. It will beappreciated, that in an alternative embodiment, all market participantsmay be required to provide preference data, even if their preference isto receive market data messages in the generic/standard format.

In one embodiment, the operation of the system 700 may further includederiving, computing or otherwise calculating one or more derived,computed or calculated values, such as Greeks or other computed(analytical) value, based on the match events or otherwise based on thecontent of the generated financial data message, wherein the one or morefinancial data message modifications include augmentation of thegenerated financial data message to include at least one of the derivedvalues within the content thereof (Block 812).

The operation of the system 700 further includes receiving the generatedfinancial data message, in the generic/standard format (Block 814), andgenerating, for each market participant 204 having preference datastored in association therewith in the memory, a modified financial datamessage in accordance with the associated preference data (Block 816).In an embodiment where all market participants are required to storepreference data, even if that preference data specifies nocustomization, the financial data message modified 708 is furtheroperative to not modify the financial data message for those recipients.It will be appreciated that, in an alternative embodiment, the financialdata message modifier 708 may operate in parallel with the financialdata message generator to receive match event data directly and generatethe customized market data messages, as described, directly, rather thanmodify the generic/standard messages, thereby reducing the latency ingenerating the customized messages as compared to the standard messages.

The operation of the system 700 further includes transmitting eachmodified financial data message to the market participant 204 for whichthe modified data message was generated, and transmitting the original,unmodified financial data message to the others of the plurality ofmarket participants, i.e. who have not specified any preference data orwho have otherwise specified that they prefer to receive thegeneric/standard messages (Block 818). As was described above, thefinancial data message transmitter 710 further be coupled with, or maybe implemented at, the edge of, e.g. the point of data egress from, theelectronic trading system 100, such as within a gateway, switch or othernetwork device which couples the electronic trading system 100 to anexternal network which will carry the market date messages.

In one embodiment, the transmitting of each modified financial datamessage to the market participant for which the modified data messagewas generated, occurs substantially contemporaneously, i.e. within amaximum elapse of time thereof so as to be imperceptible to the marketparticipants in receipt thereof, with the transmission of the financialdata message, i.e. the unmodified generic/standard message, to theothers of the plurality of market participants.

D. Market Data Prioritization

As was described above, with current electronic trading systemarchitectures, improving performance may result in reaching or exceedingthe capacity of existing infrastructure components, which as wasdescribed above, may cause or reveal underlying faults or flaws, such asdisparity along communications paths causing jitter or race conditionswhich results in non-deterministic operation. In particular, withrespect to acknowledgement messages sent to specific traders indicativeof order receipt confirmation, match events or other traderspecific/privy notifications, and corresponding market data feedmessages sent to all market participants reflecting corresponding marketstate or changes thereto, these disparities may result in theacknowledgement message being transmitted to the particular marketparticipant prior to the corresponding market data message beingtransmitted to all of the market participants, or vice versa, which mayresult inequitable/unfair access to information. Such unfair informationaccess may then be exploited to gain unfair financial or otheradvantages.

Referring now to FIG. 9 there is shown a system 900, which may be a partof the electronic trading system 100, for managing, e.g. generating,regulating, and/or transmitting, communication of a plurality offinancial data messages to a plurality of market participants 204 via anetwork, such as the network 126 described above or other network whichinterconnects the electronic trading system 100 with market datarecipients, each of a first subset of the plurality of financial datamessages comprising data, e.g. market data (market by order, market byprice, top of book or other market data format or combinations thereof),indicative of a change in state of an electronic marketplace, e.g. anorder book maintained by a match engine 914, for one or more financialproducts, such as futures, options or combinations thereof, etc., to betransmitted to all of the plurality of market participants, each of asecond subset of the plurality of financial data messages comprising aresponse message corresponding to one of the financial data messages ofthe first subset to be transmitted to a particular market participant204 of the plurality of market participants 204. As described herein,market data is transmitted to market participants 204 which may includeboth traders/trading customers 904 and market data recipients/consumers906, such as news or reporting entities, and/or market dataresellers/aggregators, which may receive and then resell, such as afteraggregating with data from other sources, e.g. other trading systems,electronic or otherwise, analysis, etc., or other consumers of marketdata. Response messages, such as messages acknowledging receipt of anorder (“ack”), indicating cancelation of an order (“nack” or cancel),confirming a trade has completed (confirm), or indicative of some otherstatus, etc., are transmitted solely to those market participant whichsubmitted the transaction underlying the response or which suchinformation may be privy, who may also receive the corresponding marketdata message along with other market participants.

In one embodiment, the system 900 is implemented as part of the matchingand market data functions 106, 112 of the electronic trading system 100.It will be appreciated that the system 900 may be implemented as part ofother functions of the electronic trading system 100, or otherwisecoupled with the communications infrastructure 202, which as describedabove, interconnects the various components of the electronic tradingsystem 100. In one embodiment, the system 900 is implemented, at leastin part, as a reconfigurable logic device, e.g. FPGA, coupled with aconventional match engine 914. Alternatively, the system 900 may be usedwith the redundant match engine architecture described above, e.g. thesystem 900 may be coupled with the orderer 210 and/or decider 212described above and, in one implementation, is implemented on the sameFPGA device.

The system 900 includes a response message generator 908 coupled, orotherwise integrated, with the electronic marketplace, e.g. the matchengine 914, and operative to generate a response message indicative of aresponse by the electronic marketplace, e.g. the match engine 914, whichmay comprise “market by order” data (“MBO”), to a request for afinancial transaction received from a particular of the plurality ofmarket participants 204. The response message generator 908 may beimplemented as one or more logic components of an FPGA or otherwiseimplemented as part of the system which implements the match engine 914.In an embodiment utilizing the redundant match engine architecturedescribed above, the response message generator 908 may implemented inthe same FPGA in which the orderer 210 and decider 212 are implementedas described above, or otherwise coupled therewith, such as via thenetwork device backplane. Alternatively, the response message generator908 may be implemented as logic, such as computer program logic, storedin a memory and executable by a processor coupled therewith to cause theprocessor to act as described.

The system 900 also includes a financial data message generator 910coupled with the electronic marketplace, e.g. the match engine 914, andoperative, based on a change in state therein caused by the receivedrequest, e.g. order, to generate a corresponding financial data messagecomprising content representative thereof, e.g. market data. Thefinancial data message generator 910 may be implemented as one or morelogic components of an FPGA or otherwise implemented as part of thesystem which implements the match engine 914. In an embodiment utilizingthe redundant match engine architecture described above, the financialdata message generator 910 may implemented in the same FPGA in which theorderer 210 and decider 212 are implemented as described above, orotherwise coupled therewith, such as via the network device backplane.Alternatively, the financial data message generator 910 may beimplemented as logic, such as computer program logic, stored in a memoryand executable by a processor coupled therewith to cause the processorto act as described.

The system 900 further includes a financial data message transmitter 912coupled with the response message generator 908 and the financial datamessage generator 910, such as via the network infrastructure 202 of theelectronic trading system 100, and operative to synchronize thetransmission of the corresponding generated financial data and generatedresponse messages, e.g. to not transmit the generated response messageto the particular market participant 204 prior to transmitting thecorresponding financial data message to all of the plurality of marketparticipants 204. The financial data message transmitter 912 may beimplemented as one or more logic components of an FPGA separate from,such as part of a network router or switch, or otherwise implemented aspart of the system which implements the match engine 914. In anembodiment utilizing the redundant match engine architecture describedabove, the financial data message transmitter 912 may implemented in thesame FPGA in which the orderer 210 and decider 212 are implemented asdescribed above, or otherwise coupled therewith, such as via the networkdevice backplane. Alternatively, the financial data message transmitter912 may be implemented as logic, such as computer program logic, storedin a memory and executable by a processor coupled therewith to cause theprocessor to act as described.

Wherein the response message may be generated, or otherwise received bythe financial data transmitter 912, prior to the corresponding financialdata message, in one embodiment, the financial data message transmitter912 may further include a memory or other storage device, not shown,such as a memory component of an FPGA, which is operative to store thegenerated response message until the corresponding financial datamessage is ready to transmit, when the response message is generatedprior to, or otherwise overtakes the transmission of, the correspondingfinancial data message. The financial data message transmitter 912 maycheck this memory upon receipt of each financial data message and, oncethe corresponding financial data message is received, allow the storedresponse message to be transmitted.

Alternatively, or in addition thereto, wherein the financial datamessage may be generated, or otherwise received by the financial datatransmitter 912, prior to the corresponding response message, thefinancial data message transmitter 912 may further include a memory, notshown, such as a memory component of an FPGA, operative to store dataindicative of the prior transmission of the corresponding financial datamessage to allow transmission of the generated response message oncegenerated, when the corresponding financial data message is generatedprior to, or otherwise over takes the transmission of, the generatedresponse message. For example, a log of transmitted financial datamessages may be maintained and checked upon receipt of each responsemessage. If the corresponding financial data message has beentransmitted, as evidenced by the log, the response message istransmitted. Otherwise, the response message is stored as describedabove to await receipt of the corresponding financial data message.

In one embodiment, to enable the financial data transmitter 912 todetermine correspondence between response messages and financial datamessages, the response message generator 908 and financial data messagegenerator 910 may be further operative to augment the generated responsemessage and generated financial data message with an identifier relatingthe generated response message with the generated financial datamessage. The identifier may comprise any unique code, such as an ordernumber, time stamp, etc. which uniquely relates the response messagewith the corresponding financial data message. Further, in oneembodiment, the financial data message transmitter 912 may be furtheroperative to remove the identifier from the generated response messageand generated financial data message prior to the transmission thereof,e.g. once the association there between has been used to ensure theresponse message is not transmitted prior to the corresponding financialdata message, for example, to assure anonymity of the particular marketparticipant to whom the response data is to be transmitted.

FIG. 10 depicts a flow chart 1000 showing operation of the system 900 ofFIG. 9. In particular FIG. 10 shows a method, which may be implementedby the electronic trading system 100, for managing, e.g. generating,regulating, and/or transmitting, communication of a plurality offinancial data messages to a plurality of market participants 204 via anetwork, such as the network 126 described above or other network whichinterconnects the electronic trading system 100 with market datarecipients, each of a first subset of the plurality of financial datamessages comprising data, e.g. market data (market by order, market byprice, top of book or other market data format or combinations thereof),indicative of a change in state of an electronic marketplace, e.g. anorder book maintained by a match engine 914, for one or more financialproducts, such as futures, options or combinations thereof, etc., to betransmitted to all of the plurality of market participants, each of asecond subset of the plurality of financial data messages comprising aresponse message corresponding to one of the financial data messages ofthe first subset to be transmitted to a particular market participant204 of the plurality of market participants 204. As described herein,market data is transmitted to market participants 204 which may includeboth traders/trading customers 904 and market data recipients/consumers906, such as news or reporting entities, and/or market dataresellers/aggregators, which may receive and then resell, such as afteraggregating with data from other sources, e.g. other trading systems,electronic or otherwise, analysis, etc., or other consumers of marketdata. Response messages, such as messages acknowledging receipt of anorder (“ack”), indicating cancelation of an order (“nack” or cancel),confirming a trade has completed (confirm), or indicative of some otherstatus, etc., are transmitted solely to those market participant whichsubmitted the transaction underlying the response or which suchinformation may be privy, who may also receive the corresponding marketdata message along with other market participants.

In one embodiment, the operation of the system 900 is implemented aspart of the matching and market data functions 106, 112 of theelectronic trading system 100. It will be appreciated that the operationof the system 900 may be implemented as part of other functions of theelectronic trading system 100, or otherwise coupled with thecommunications infrastructure 202, which as described above,interconnects the various components of the electronic trading system100. In one embodiment, the operation of the system 900 is implemented,at least in part, as a reconfigurable logic device, e.g. FPGA, coupledwith a conventional match engine 914. Alternatively, the operation ofthe system 900 may be used with the redundant match engine architecturedescribed above, e.g. the system 900 may be coupled with the orderer 210and/or decider 212 described above and, in one implementation, isimplemented on the same FPGA device.

The operation of the system 900 includes: generating a response messageindicative of a response by the electronic marketplace, e.g. the matchengine 914, to a request for a financial transaction received from aparticular of the plurality of market participants 204 (Block 1002);and, based on a change in state therein caused by the received request,e.g. order, generating a corresponding financial data message comprisingcontent representative thereof, e.g. market data (Block 1004).

The operation of the system 900 further includes synchronizing thetransmission of the corresponding generated financial data and generatedresponse messages, e.g. not transmitting the generated response messageto the particular market participant 204 prior to transmitting thecorresponding financial data message to all of the plurality of marketparticipants 204 (Block 1006).

Wherein the response message may be generated, or otherwise received,prior to the corresponding financial data message, in one embodiment,the operation of the system 900 may further include storing thegenerated response message until the corresponding financial datamessage is ready to transmit, when the response message is generatedprior to, or otherwise overtakes the transmission of, the correspondingfinancial data message (Block 1008). The stored responses may be checkedupon receipt of each financial data message and, once the correspondingfinancial data message is received, the stored response message isallowed to be transmitted.

Alternatively, or in addition thereto, wherein the financial datamessage may be generated, or otherwise received, prior to thecorresponding response message, the operation of the system 900 mayfurther include storing data indicative of the prior transmission of thecorresponding financial data message to allow transmission of thegenerated response message once generated, when the correspondingfinancial data message is generated prior to, or otherwise over takesthe transmission of, the generated response message (Block 1010). Forexample, a log of transmitted financial data messages may be maintainedand checked upon receipt of each response message. If the correspondingfinancial data message has been transmitted, as evidenced by the log,the response message is transmitted. Otherwise, the response message isstored as described above to await receipt of the correspondingfinancial data message.

In one embodiment, to enable a determination of the correspondencebetween response messages and financial data messages, the operation ofthe system 900 may further include augmenting the generated responsemessage and generated financial data message with an identifier relatingthe generated response message with the generated financial data message(Block 1012). The identifier may comprise any unique code, such as anorder number, time stamp, etc. which uniquely relates the responsemessage with the corresponding financial data message. Further, in oneembodiment, the operation of the system 900 may further include removingthe identifier from the generated response message and generatedfinancial data message prior to the transmission thereof, e.g. once theassociation there between has been used to ensure the response messageis not transmitted prior to the corresponding financial data message,for example, to assure anonymity of the particular market participant towhom the response data is to be transmitted (Block 1014).

E. Implied Match Identification

As described above, identification of implied matches and opportunitiesmay improve market liquidity. In one embodiment, the implication processmay be moved outside the match engine function 106, which, as shown inFIGS. 11 and 12, may be a conventional match engine or a redundant matchengine architecture as described above. For example, the implicationprocess may be co-located with the Decider 212 of one or moreOrder/Decider coupled redundant match engines 208, described above, suchas on the same FPGA or within the same switch, gateway 214 or otherserver or network device, so as to be privy to the match eventsgenerated thereby indicative of whether incoming orders are matched ornot. In one implementation, a system 1102 for generating implied matchesis provided which listens to all match events, described in detailabove, and, using a set of self-maintained “shadow order books”,attempts to identify, calculate or derive implied matches. If an impliedmatch is identified, the system 1102 generates one or more syntheticorders into the necessary markets and injects them into the stream ofincoming orders, such as by sending them to the relevant Orderers 210 ororder entry gateway 1104 of a conventional match engine 106 (or directlythereto). These synthetic orders are then processed like any otherorders resulting in the necessary implied matches. As the system 1102may be privy to the match event data from multiple markets, e.g.multiple order books, and in one embodiment all markets/order books, itcan identify a wider array of implied intra- and inter-market matchesthereby improving liquidity. These synthetic orders can be injectedahead of any real orders that may be inbound to complete the impliedtransaction ahead thereof. The ability to identify implied matchesacross a wider variety of markets further enables the electronic tradingsystem 100 to offer a wider variety of combination financialinstruments, e.g. more complex combinations, even where the markettherefore may be characterized by lower liquidity, such as due to thelower demand for such a complex product. In particular, the disclosedsystem may improve liquidity via the identification of implied matchesin the relevant component financial instrument markets alleviating theneed for liquidity in the specific market for the financial instrument.

Referring now to FIG. 13 there is shown a block diagram of a system1102, according to one embodiment, for improving efficiency of anelectronic trading system 100 comprising a plurality of match enginescoupled therewith, which as shown in FIG. 11, may be a conventionalmatch engine 106 which receives orders via an order entry gateway 1104,or, as shown in FIG. 12, may be a redundant match engine set 206receiving orders via an orderer 210 as described above, or may be amatch engine or match function having an alternative architecture. Asused herein, a “match engine” 106 refers to either a conventional matchengine or a redundant set of match engines as described. Each of theplurality of match engines, i.e. conventional or redundant sets,implement at least one market, or order book representative thereof, foran associated financial instrument, e.g. futures, options contracts, asingle contract therefore or a strategy/combination of contracts, suchas a spread, wherein each associated financial instrument comprises atlease one component wherein, for example, for a futures or optionscontract, the component is the contract itself and for astrategy/combination contract having more than one component wherein thecomponents are the leg orders/contracts/instruments thereof, as wasdescribed above. Each of the plurality of match engines 106 is operativeto attempt to match an incoming, e.g. received from a market participantor other source, order for a transaction, which may specify theside/intent (buy/sell), desired price and desired quantity and/or otherparameters/conditions, for the associated financial instrument with atleast one other previously received but unsatisfied, e.g. unmatched oronly partially filled (resting), order for a transaction counter theretofor the associated financial instrument, to at least partially satisfy,e.g. partially fill, one or both of the incoming order or the at leastone other previously received order, that is wherein each component, asgoverned by the transaction (distributively applied), is at leastpartially satisfied. In one embodiment, the system 1102 is implementedas a reconfigurable logic device, e.g. FPGA, and coupled with the matchengines. For example, in one implementation, the system 1102 may becoupled with the orderer 210 and/or decider 212 described above and, mayfurther be implemented on the same FPGA device.

The system 1102 includes an implicator 1302, which may be implemented asone or more logic components of an FPGA, such as the same FPGA in whichthe orderer 210 and decider 212 are implemented as described above, orotherwise coupled therewith or with a conventional match engine asdescribed, such as via the network device backplane. Alternatively, theimplicator 1302 may be implemented as logic, such as computer programlogic, stored in a memory and executable by a processor coupledtherewith to cause the processor to act as described.

The implicator 1302 is coupled with each of the plurality of matchengines and operative to receive match event data therefrom indicativeof whether each match engine was able to match an incoming order for atleast one transaction for the associated financial instrument associatedwith that match engine with at least one previously received butunsatisfied order for a transaction counter thereto for the associatedfinancial instrument, in at least partial satisfaction of one or both ofthe incoming order or the at least one other previously received order.

Furthermore, the implicator 1302 is operative, when the match event dataindicates that the incoming order has not been fully satisfied, e.g. notmatched at all or only partially filled, to attempt to identify a set ofpreviously received but unsatisfied orders wherein, for any residual ofeach particular of the at least one component of the associatedfinancial instrument of the incoming order, the set includes apreviously received but unsatisfied order for a counter transaction foranother financial instrument, which may be associated with another matchengine, comprising at least the particular component, e.g. based on thetransaction as distributively applied to each component, to at leastpartially satisfy/fill one or both of the residual of the particularcomponent of the associated financial instrument of the incoming orderor the component of the determined previously received order. Theimplicator 1302 is further operative to attempt to identify, e.g.recursively, and include in the set, for any component of the financialinstrument of any previously received but unsatisfied orders included inthe set and not at least partially satisfied by any of the components ofthe associated financial instrument of the incoming order, anotherpreviously received but unsatisfied order for a counter transaction fora financial instrument including at least the component of the financialinstrument of the previously received but unsatisfied order, such thatthe incoming order together with the set of previously received butunsatisfied orders, if the transactions for the financial instrumentsthereof were completed there between, includes no fully unsatisfiedorders.

In one embodiment, the system 1102 may further maintain a set of orderbook data structures, i.e. shadow order books, duplicative of the orderbooks maintained by the plurality of match engines, and updated based onthe received match event data to indicate, at least, those previouslyreceived order which are currently wholly or partially unsatisfied. Theshadow order books may be maintained in a memory 1306, which may be acomponent of an FPGA device or other type of memory or storage, coupledwith the implicator 1302. The implicator 1302 may then utilize theshadow order books to facilitate identification of the set of previouslyreceived but unsatisfied orders, data indicative of which is storedtherein.

In one embodiment, the implicator 1302 is operative to attempt toidentify the set of previously received but unsatisfied orders based onan implied matching algorithm. Exemplary matching algorithms may befound in U.S. Patent Application Publication Nos. 2011/0055067 A1,2011/0066536 A1, 2011/0066568 A1, 2011/0087579 A1, 2011/0313905 A1, or2013/0110694 A1, all of which are incorporated by reference herein intheir entirety.

In one embodiment, upon the identification by the implicator 1302 ofmore than one set, overlapping or non-overlapping, of previouslyreceived but unsatisfied orders, the implicator 1302 may be furtheroperative to select one of the more than one set of previously receivedbut unsatisfied orders for further generation of synthetic orders. Forexample, the implicator 1302 may be further operative to select the oneof the more than one set of previously received but unsatisfied orderscontaining the least, or alternatively, the most, number of previouslyreceived but unsatisfied orders.

The system 1102 also includes an order generator 1304, which may beimplemented as one or more logic components of an FPGA, such as the sameFPGA in which the orderer 210 and decider 212 are implemented asdescribed above, or otherwise coupled therewith. Alternatively, theorder generator 1304 may be implemented as logic, such as computerprogram logic, stored in a memory and executable by a processor coupledtherewith to cause the processor to act as described. The ordergenerator 1304 is coupled with the implicator 1302 and operative to,when the incoming order together with the identified set of previouslyreceived but unsatisfied orders, if the components of the financialinstruments thereof were completed there between, include no fullyunsatisfied orders, the incoming order being referred to as a “trigger”,“promoter”, “bridging” or “catalyst” order, generate, for each financialinstrument of the incoming order and the set of previously received butunsatisfied orders, a set of unique synthetic, e.g. implied, counterorders, each for a transaction of another of the financial instrumentsof the incoming order and the set of previously received but unsatisfiedorders comprising at least one component in common.

In one embodiment, the order generator 1304 is further operative tosubmit each synthetic order to the match engine associated with thefinancial instrument thereof. As described above, the match engine wouldthen process the synthetic order as it would any other incoming order.However, as it has already been determined that a suitable counter orderexists in the order book of that match engine, a match should bedetermined. With all of the synthetic orders being matched, the incomingorder could then be matched as described.

In one embodiment wherein the match event data is further communicatedto a plurality of market participants 204, e.g. as market data, thesystem 1102 may be operative to attempt to identify the set ofpreviously received but unsatisfied orders, generate the set ofsynthetic orders and submit each synthetic order to the match engineassociated with the financial instrument thereof, prior to receipt bythe associated match engine of an order generated by any one of theplurality of market participants 204 response to the receipt of thematch event data. This ensures that the implied match can be determinedand then traded before any of the set of previously received butunsatisfied orders can be matched and traded by other means, underminingthe implied match.

In one embodiment, the order generator 1304 is further operative to,when the incoming order together with the identified set of previouslyreceived but unsatisfied orders, if the transactions for the componentsof the financial instruments thereof were completed there between,includes at least one fully unsatisfied order, i.e. an implied matchcannot be identified, cause the unsatisfied portion, which may be theentire quantity, of the incoming order to be rested on the order book,i.e. treated as a previously received but unsatisfied order to awaitanother subsequently received incoming order counter thereto for theassociated financial instrument, in at least partial satisfaction of oneor both of the subsequently received incoming order or the unsatisfiedportion of the incoming order.

FIG. 14 depicts a flow chart 1400 showing operation of the system 1102of FIG. 13. In particular FIG. 14 shows a method, according to oneembodiment, for improving efficiency of an electronic trading system 100comprising a plurality of match engines coupled therewith, which asshown in FIG. 11, may be a conventional match engine 106 which receivesorders via an order entry gateway 1104, or, as shown in FIG. 12, may bea redundant match engine set 206 receiving orders via an orderer 210 asdescribed above, or may be a match engine or match function having analternative architecture. As used herein, a “match engine” 106 refers toeither a conventional match engine or a redundant set of match enginesas described. Each of the plurality of match engines, i.e. conventionalor redundant sets, implement at least one market, or order bookrepresentative thereof, for an associated financial instrument, e.g.futures, options contracts, a single contract therefore or astrategy/combination of contracts, such as a spread, wherein eachassociated financial instrument comprises at lease one componentwherein, for example, for a futures or options contract, the componentis the contract itself and for a strategy/combination contract havingmore than one component wherein the components are the legorders/contracts/instruments thereof, as was described above. Each ofthe plurality of match engines 106 is operative to attempt to match anincoming, e.g. received from a market participant or other source, orderfor a transaction, which may specify the side/intent (buy/sell), desiredprice and desired quantity and/or other parameters/conditions, for theassociated financial instrument with at least one other previouslyreceived but unsatisfied, e.g. unmatched or only partially filled(resting), order for a transaction counter thereto for the associatedfinancial instrument, to at least partially satisfy, e.g. partiallyfill, one or both of the incoming order or the at least one otherpreviously received order, that is wherein each component, as governedby the transaction (distributively applied), is at least partiallysatisfied.

The operation of the system 1102 includes receiving match event datatherefrom indicative of whether each match engine was able to match anincoming order for at least one transaction for the associated financialinstrument associated with that match engine with at least onepreviously received but unsatisfied order for a transaction counterthereto for the associated financial instrument, in at least partialsatisfaction of one or both of the incoming order or the at least oneother previously received order (Block 1402).

Furthermore, when the match event data indicates that the incoming orderhas not been fully satisfied, e.g. not matched at all or only partiallyfilled, the operation of the system 1102 includes attempting to identifya set of previously received but unsatisfied orders wherein, for anyresidual of each particular of the at least one component of theassociated financial instrument of the incoming order, the set includesa previously received but unsatisfied order for a counter transactionfor another financial instrument, which may be associated with anothermatch engine, comprising at least the particular component, e.g. basedon the transaction as distributively applied to each component, to atleast partially satisfy/fill one or both of the residual of theparticular component of the associated financial instrument of theincoming order or the component of the determined previously receivedorder (Block 1404). The operation of the system 1102 further includesattempting to identify, e.g. recursively, and include in the set, forany component of the financial instrument of any previously received butunsatisfied orders included in the set and not at least partiallysatisfied by any of the components of the associated financialinstrument of the incoming order, another previously received butunsatisfied order for a counter transaction for a financial instrumentincluding at least the component of the financial instrument of thepreviously received but unsatisfied order, such that the incoming ordertogether with the set of previously received but unsatisfied orders, ifthe transactions for the financial instruments thereof were completedthere between, includes no fully unsatisfied orders (Block 1406).

In one embodiment, the operation of the system 1102 may further includemaintaining a set of order book data structures, i.e. shadow orderbooks, duplicative of the order books maintained by the plurality ofmatch engines, and updated based on the received match event data toindicate, at least, those previously received order which are currentlywholly or partially unsatisfied (Block 1408). The shadow order books maybe maintained in a memory 1306, which may be a component of an FPGAdevice or other type of memory or storage, coupled with the implicator1302. The operation of the system 1102 may then include utilizing theshadow order books to facilitate identification of the set of previouslyreceived but unsatisfied orders, data indicative of which is storedtherein (Block 1410).

In one embodiment, the operation of the system 1102 further includesattempting to identify the set of previously received but unsatisfiedorders based on an implied matching algorithm (Block 1412). Exemplarymatching algorithms may be found in U.S. Patent Application PublicationNos. 2011/0055067 A1, 2011/0066536 A1, 2011/0066568 A1, 2011/0087579 A1,2011/0313905 A1, or 2013/0110694 A1, all of which are incorporated byreference herein in their entirety.

In one embodiment, upon the identification of more than one set,overlapping or non-overlapping, of previously received but unsatisfiedorders, the operation of the system 1102 may further include selectingone of the more than one set of previously received but unsatisfiedorders for further generation of synthetic orders (Block 1414), such asselecting the one of the more than one set of previously received butunsatisfied orders containing the least, or alternatively, the most,number of previously received but unsatisfied orders.

The operation of the system 1102 further includes, when the incomingorder together with the identified set of previously received butunsatisfied orders, if the components of the financial instrumentsthereof were completed there between, include no fully unsatisfiedorders, the incoming order being referred to as a “trigger”, “promoter”,“bridging” or “catalyst” order, generating, for each financialinstrument of the incoming order and the set of previously received butunsatisfied orders, a set of unique synthetic, e.g. implied, counterorders, each for a transaction of another of the financial instrumentsof the incoming order and the set of previously received but unsatisfiedorders comprising at least one component in common (Block 1416).

In one embodiment, the operation of the system 1102 further includessubmitting each synthetic order to the match engine associated with thefinancial instrument thereof (Block 1418). As described above, the matchengine would then process the synthetic order as it would any otherincoming order. However, as it has already been determined that asuitable counter order exists in the order book of that match engine, amatch should be determined. With all of the synthetic orders beingmatched, the incoming order could then be matched as described.

In one embodiment wherein the match event data is further communicatedto a plurality of market participants 204, e.g. as market data, theoperation of the system 1102 may further include attempting to identifythe set of previously received but unsatisfied orders, generate the setof synthetic orders and submit each synthetic order to the match engineassociated with the financial instrument thereof, prior to receipt bythe associated match engine of an order generated by any one of theplurality of market participants 204 response to the receipt of thematch event data. This ensures that the implied match can be determinedand then traded before any of the set of previously received butunsatisfied orders can be matched and traded by other means, underminingthe implied match.

In one embodiment, the operation of the system 1102 further includes,when the incoming order together with the identified set of previouslyreceived but unsatisfied orders, if the transactions for the componentsof the financial instruments thereof were completed there between,includes at least one fully unsatisfied order, i.e. an implied matchcannot be identified, causing the unsatisfied portion, which may be theentire quantity, of the incoming order to be rested on the order book,i.e. treated as a previously received but unsatisfied order to awaitanother subsequently received incoming order counter thereto for theassociated financial instrument, in at least partial satisfaction of oneor both of the subsequently received incoming order or the unsatisfiedportion of the incoming order (Block 1420).

F. Implied Opportunity Identification

Further, as was described above, the process by which implied matchesare identified may be separated from the process by which impliedopportunities are identified. In particular, once it has been determinedthat an incoming order has not been fully satisfied (both by attemptingto identify an outright order match and an implied match), the incomingorder, with its original or residual quantity, will be placed on theorder book to rest and to be advertised to the market participants asbeing available to trade. As was described above, to further improveliquidity by creating additional opportunities for this order to betraded, a system 1502 for identifying implied opportunities may thendetermine what, if any, one or more orders in related markets, ifreceived, would allow the incoming order to trade. To facilitate thisprocess, the system 1502, as will be described below, may maintain itsown shadow set of order books and may further derive, calculate, orotherwise compute more than one implied opportunity, each of which may,alone or in concert with other resting outright orders, allow theincoming order to trade and wherein when any one of these one or moreimplied opportunities is traded against, the remaining impliedopportunities are canceled. Further, should orders be placed againstmore than one of these implied opportunities, arbitration mechanisms maybe provided to determine which will prevail. Alternatively, the system1502 may determine that more than one implied opportunity is needed,alone or in concert with presently resting orders. As impliedopportunities are synthetic and may only be tradeable if all of therelated orders are tradeable, mechanisms may be necessary, for example,to ensure that all of the implied opportunities are substantiallysimultaneously traded together or not at all. Alternatively, the impliedopportunity may be permitted to trade under the assumption that theremaining opportunities will also be traded eventually, thereby allowingall of the related orders to be traded, wherein the Exchange, or anotherentity, such as a Market Maker, may adopt the synthetic counter positionand the risk that all of the implied opportunities will not be traded.

The identified implied opportunities are then added to the market dataso as to solicit the desired orders. That is, synthetic market dataevents, e.g. synthetic solicitations, are generated to advertise theavailability of the implied opportunity in order to solicit the desiredorder(s). In one embodiment, synthetic orders identical to those neededare injected into the incoming order stream of the relevant markets. Asthe implied match function would have already determined that suitablecounter orders do not exist in those markets, these synthetic orderswill not be matched and instead will be rested on the respective orderbooks and advertised to the market participants via the standard marketdata feed. Should a market participant choose to trade against one ofthese synthetic orders, the implied matching functionality describedabove, may see such orders to create an implied match and execute tradesamong all of the relevant orders.

As described above, implied opportunity identification may be an adjunctto implied match identification. Separating implied opportunity fromimplied match allows streamlining of both functions so that theprocessing can be performed quickly. In particular, identification ofimplied matches involves reviewing the order books of products whichshare at least one common component instrument to discern if therequisite orders are resting therein. In contrast, the identification ofimplied opportunities requires knowledge of the available order booksfor products sharing at least one common component instrument but reviewof those order books may be unnecessary assuming an implied match wasnot previously identified. In one embodiment, while the functions ofimplied match identification and implied opportunity identification maybe separated, they may still be coupled with each other so as, forexample, allow the implied match processor to identify those orders thatit was unable to identify during its process to the implied opportunitygenerator. Furthermore, identification of implied matches typicallyrequires analysis of a greater number of generations of combinationinstruments as the component instruments typically further comprisecomponent instruments of their own, as compared to identification ofimplied opportunities where such opportunities are typically readilyidentified via identification of common singular component instruments.Further, while identification of implied matches is done as part of/inconcert with the matching process, a process which must be performedsequentially, quickly and deterministically, the identification ofimplied opportunities is effectively merely producing information to bebroadcast to the market participants and can be performed in parallelwith the matching process or otherwise separately therefrom. Separationfurther permits the electronic trading system to offer eitheridentification of implied matches or implied opportunities but not bothif necessary. For example, due to high volumes, it may be desirable toturn down the frequency of implied opportunity identification, however,turning off implied match identification may change the liquidity pooland alter the market, so it should remain on during the life of atrading session.

As described above, identification of implied matches and opportunitiesmay improve market liquidity. In one embodiment, the process ofidentifying implied opportunities may be moved outside the match enginefunction 106, which, as shown in FIG. 15, may be a redundant matchengine architecture as described above. It will be appreciated that thedisclosed embodiments may also be implemented in conjunction with aconventional match engine architecture or other match enginearchitecture. For example, the implication process may be co-locatedwith the Decider 212 of one or more Order/Decider coupled redundantmatch engines 208, described above, such as on the same FPGA or withinthe same switch, gateway 214 or other network device, so as to be privyto the match events generated thereby indicative of whether incomingorders are matched or not. In one embodiment, the system 1502 foridentifying implied opportunities may be implemented in conjunction withthe system 1102 for identifying implied matches such that identificationof implied opportunities occurs only if both an outright and impliedmatch cannot be found. In an alternative embodiment, identification ofimplied opportunities may occur in parallel with identification ofimplied matches to improve efficiency, however, any identified impliedopportunities may be suppressed when an implied match is identified.

In one implementation, a system 1502 for generating implied matches isprovided which listens to all match events, described in detail above,and, using a set of self-maintained “shadow order books”, attempts toidentify, calculate or derive implied opportunities. If an impliedopportunity is identified, the system 1102 may generate one or moresynthetic orders into the necessary markets and inject them into thestream of incoming orders, such as by sending them to the relevantOrderers 210 or order entry gate way 1104 of a conventional match engine106. These synthetic orders are then processed like any other ordersresulting in the necessary implied orders being rested on the respectiveorder books and advertised via the market data feed to the marketparticipants to solicit the desired orders for an implied match. As thesystem 1502 may be privy to the match event data from multiple markets,e.g. multiple order books, and in one embodiment all markets/orderbooks, it can identify a wider array of implied intra- and inter-marketopportunities thereby improving liquidity. It will be appreciated thatthe synthetic orders may be injected directly into the market data feedin order to advertise their availability to the market participants andsolicit the desired orders therefrom. The ability to identify impliedopportunities across a wider variety of markets further enables theelectronic trading system 100 to offer a wider variety of combinationfinancial instruments, e.g. more complex combinations, even where themarket therefore may be characterized by lower liquidity, such as due tothe lower demand for such a complex product. In particular, thedisclosed system may improve liquidity via the identification of impliedopportunities in the relevant component financial instrument marketsalleviating the need for liquidity in the specific market for thefinancial instrument.

Referring now to FIG. 16 there is shown a block diagram of a system1502, according to one embodiment, for improving efficiency of anelectronic trading system 100 comprising a plurality of match enginescoupled therewith, which as shown in FIG. 15, may be a redundant matchengine set 206 receiving orders via an orderer 210 as described above,or may be a conventional match engine or match function having analternative architecture. As used herein, a “match engine” 106 refers toeither a conventional match engine or a redundant set of match enginesas described. Each of the plurality of match engines, i.e. conventionalor redundant sets, implement at least one market, or order bookrepresentative thereof, for an associated financial instrument, e.g.futures, options contracts, a single contract therefore or astrategy/combination of contracts, such as a spread, wherein eachassociated financial instrument comprises at lease one componentwherein, for example, for a futures or options contract, the componentis the contract itself and for a strategy/combination contract havingmore than one component wherein the components are the legorders/contracts/instruments thereof, as was described above. Each ofthe plurality of match engines 106 is operative to attempt to match anincoming, e.g. received from a market participant or other source, orderfor a transaction, which may specify the side/intent (buy/sell), desiredprice and desired quantity and/or other parameters/conditions, for theassociated financial instrument with at least one other previouslyreceived but unsatisfied, e.g. unmatched or only partially filled(resting), order for a transaction counter thereto for the associatedfinancial instrument, to at least partially satisfy, e.g. partiallyfill, one or both of the incoming order or the at least one otherpreviously received order, that is wherein each component, as governedby the transaction (distributively applied), is at least partiallysatisfied. In one embodiment, the system 1502 is implemented as areconfigurable logic device, e.g. FPGA, and coupled with the matchengines. For example, in one implementation, the system 1102 may becoupled with the orderer 210 and/or decider 212 described above and, mayfurther be implemented on the same FPGA device.

The system 1502 includes an implicator 1602, which may be implemented asone or more logic components of an FPGA, such as the same FPGA in whichthe orderer 210 and decider 212 are implemented as described above, orotherwise coupled therewith or with a conventional match engine asdescribed, such as via the network device backplane. Alternatively, theimplicator 1602 may be implemented as logic, such as computer programlogic, stored in a memory and executable by a processor coupledtherewith to cause the processor to act as described. It will beappreciated that the implicator 1602 utilized for implied opportunityidentification may be the same implicator 1302 used to identify impliedmatches, or may be implemented separate therefrom.

The implicator 1602 is coupled with each of the plurality of matchengines and operative to receive match event data therefrom indicativeof whether each match engine was able to match an incoming order for atleast one transaction for the associated financial instrument associatedwith that match engine with at least one previously received butunsatisfied order for a transaction counter thereto for the associatedfinancial instrument, in at least partial satisfaction of one or both ofthe incoming order or the at least one other previously received order.

Furthermore, the implicator 1602 is operative, when the match event dataindicates that the incoming order has not been fully satisfied, e.g. notmatched at all or only partially filled, to attempt to identify a set ofpreviously received but unsatisfied orders wherein, for any residual ofeach particular of the at least one component of the associatedfinancial instrument of the incoming order, the set includes apreviously received but unsatisfied order for a counter transaction foranother financial instrument, which may be associated with another matchengine, comprising at least the particular component, e.g. based on thetransaction as distributively applied to each component, to at leastpartially satisfy/fill one or both of the residual of the particularcomponent of the associated financial instrument of the incoming orderor the component of the determined previously received order. Theimplicator 1602 is further operative to attempt to identify, e.g.recursively, and include in the set, for any component of the financialinstrument of any previously received but unsatisfied orders included inthe set and not at least partially satisfied by any of the components ofthe associated financial instrument of the incoming order, anotherpreviously received but unsatisfied order for a counter transaction fora financial instrument including at least the component of the financialinstrument of the previously received but unsatisfied order, such thatthe incoming order together with the set of previously received butunsatisfied orders, if the transactions for the financial instrumentsthereof were completed there between, includes no fully unsatisfiedorders.

In one embodiment, the system 1502 may further maintain a set of orderbook data structures, i.e. shadow order books, duplicative of the orderbooks maintained by the plurality of match engines, and updated based onthe received match event data to indicate, at least, those previouslyreceived order which are currently wholly or partially unsatisfied. Theshadow order books may be maintained in a memory 1606, which may be acomponent of an FPGA device or other type of memory or storage, coupledwith the implicator 1602. The implicator 1602 may then utilize theshadow order books to facilitate identification of the set of previouslyreceived but unsatisfied orders, data indicative of which is storedtherein.

In one embodiment, the implicator 1602 is operative to attempt toidentify the set of previously received but unsatisfied orders based onan implied opportunity identification algorithm. Exemplary matchingalgorithms may be found in U.S. Patent Application Publication Nos.2011/0055067 A1, 2011/0066536 A1, 2011/0066568 A1, 2011/0087579 A1,2011/0313905 A1, or 2013/0110694 A1, all of which are incorporated byreference herein in their entirety.

In one embodiment, upon the identification by the implicator 1602 ofmore than one set, overlapping or non-overlapping, of previouslyreceived but unsatisfied orders, the implicator 1602 may be furtheroperative to select one of the more than one set of previously receivedbut unsatisfied orders for further generation of syntheticsolicitations. For example, the implicator 1602 may be further operativeto select the one of the more than one set of previously received butunsatisfied orders containing the least, or alternatively, the most,number of previously received but unsatisfied orders.

The system 1502 also includes an order generator 1604 coupled with theimplicator 1602 and operative to, when the incoming order together withthe identified set of previously received but unsatisfied orders, whichmay include no orders, if the components thereof were completed therebetween, include at least one fully unsatisfied order having at leastone fully unsatisfied component thereof, for each of the at least onefully unsatisfied order for a financial instrument having more than onecomponent, generate, for each at least one fully unsatisfied component,a synthetic solicitation, e.g. an implied opportunity, for a countertransaction for a financial instrument comprising a component identicalto the at least one fully unsatisfied component and communicate thesynthetic solicitation, via, for example, the market data feed, to aplurality of market participants and for any two or more of the at leastone fully unsatisfied orders for financial instruments each having onlyone component, attempt to identify a financial instrument comprising acombination of those components, and for each identified financialinstrument, generate a synthetic solicitation, e.g. an impliedopportunity, for a counter transaction therefore and communicate, suchas via the market data feed, the synthetic solicitation to the pluralityof market participants, wherein the price of the synthetic solicitationmay computed based on the components and other orders resting in theorder book therefore.

In one embodiment, the synthetic solicitations are communicated to themarket participants 204 substantially simultaneously with acommunications, e.g. immediately subsequent thereafter, indicating thatthe incoming order has not been fully satisfied to the marketparticipant of the plurality of market participants which sent theincoming order.

In one embodiment, the order generator 1604 is operative to submit eachsynthetic solicitation as an order to the associated match engine tocause the associated match engine to generate match event data, e.g.indicative of the order not being matched and thereby rested on theorder book maintained thereby, based thereon, the match event data thenbeing communicated to a plurality of market participants 204 to solicitan order counter to the synthetic order. Alternatively, the syntheticsolicitation may be directly injected into the market data stream forcommunication to the market participants 204.

In one embodiment, the order generator 1304 is further operative to,when the incoming order together with the identified set of previouslyreceived but unsatisfied orders, if the transactions for the componentsof the financial instruments thereof were completed there between,includes at least one fully unsatisfied order, i.e. an implied matchcannot be identified, cause the unsatisfied portion, which may be theentire quantity, of the incoming order to be rested on the order book,i.e. treated as a previously received but unsatisfied order to awaitanother subsequently received incoming order counter thereto for theassociated financial instrument, in at least partial satisfaction of oneor both of the subsequently received incoming order or the unsatisfiedportion of the incoming order.

FIG. 17 depicts a flow chart 1700 showing operation of the system 1502of FIG. 16. In particular FIG. 17 shows a method, according to oneembodiment, for improving efficiency of an electronic trading system 100comprising a plurality of match engines coupled therewith, which asshown in FIG. 15, may be a redundant match engine set 206 receivingorders via an orderer 210 as described above, or may be a conventionalmatch engine or match function having an alternative architecture. Asused herein, a “match engine” 106 refers to either a conventional matchengine or a redundant set of match engines as described. Each of theplurality of match engines, i.e. conventional or redundant sets,implement at least one market, or order book representative thereof, foran associated financial instrument, e.g. futures, options contracts, asingle contract therefore or a strategy/combination of contracts, suchas a spread, wherein each associated financial instrument comprises atlease one component wherein, for example, for a futures or optionscontract, the component is the contract itself and for astrategy/combination contract having more than one component wherein thecomponents are the leg orders/contracts/instruments thereof, as wasdescribed above. Each of the plurality of match engines 106 is operativeto attempt to match an incoming, e.g. received from a market participantor other source, order for a transaction, which may specify theside/intent (buy/sell), desired price and desired quantity and/or otherparameters/conditions, for the associated financial instrument with atleast one other previously received but unsatisfied, e.g. unmatched oronly partially filled (resting), order for a transaction counter theretofor the associated financial instrument, to at least partially satisfy,e.g. partially fill, one or both of the incoming order or the at leastone other previously received order, that is wherein each component, asgoverned by the transaction (distributively applied), is at leastpartially satisfied.

The operation of the system 1502 includes receiving match event datatherefrom indicative of whether each match engine was able to match anincoming order for at least one transaction for the associated financialinstrument associated with that match engine with at least onepreviously received but unsatisfied order for a transaction counterthereto for the associated financial instrument, in at least partialsatisfaction of one or both of the incoming order or the at least oneother previously received order (Block 1702).

Furthermore, when the match event data indicates that the incoming orderhas not been fully satisfied, e.g. not matched at all or only partiallyfilled, the operation of the system 1502 includes attempting to identifya set of previously received but unsatisfied orders wherein, for anyresidual of each particular of the at least one component of theassociated financial instrument of the incoming order, the set includesa previously received but unsatisfied order for a counter transactionfor another financial instrument, which may be associated with anothermatch engine, comprising at least the particular component, e.g. basedon the transaction as distributively applied to each component, to atleast partially satisfy/fill one or both of the residual of theparticular component of the associated financial instrument of theincoming order or the component of the determined previously receivedorder (Block 1704). The operation of the system 1502 further includesattempting to identify, e.g. recursively, and include in the set, forany component of the financial instrument of any previously received butunsatisfied orders included in the set and not at least partiallysatisfied by any of the components of the associated financialinstrument of the incoming order, another previously received butunsatisfied order for a counter transaction for a financial instrumentincluding at least the component of the financial instrument of thepreviously received but unsatisfied order, such that the incoming ordertogether with the set of previously received but unsatisfied orders, ifthe transactions for the financial instruments thereof were completedthere between, includes no fully unsatisfied orders (Block 1706).

In one embodiment, the operation of the system 1502 may further includemaintaining a set of order book data structures, i.e. shadow orderbooks, duplicative of the order books maintained by the plurality ofmatch engines, and updated based on the received match event data toindicate, at least, those previously received order which are currentlywholly or partially unsatisfied (Block 1708). The shadow order books maybe maintained in a memory 1606, which may be a component of an FPGAdevice or other type of memory or storage, coupled with the implicator1604. The operation of the system 1502 may then include utilizing theshadow order books to facilitate identification of the set of previouslyreceived but unsatisfied orders, data indicative of which is storedtherein (Block 1710).

In one embodiment, the operation of the system 1502 further includesattempting to identify the set of previously received but unsatisfiedorders based on an implied matching algorithm (Block 1712). Exemplarymatching algorithms may be found in U.S. Patent Application PublicationNos. 2011/0055067 A1, 2011/0066536 A1, 2011/0066568 A1, 2011/0087579 A1,2011/0313905 A1, or 2013/0110694 A1, all of which are incorporated byreference herein in their entirety.

In one embodiment, upon the identification of more than one set,overlapping or non-overlapping, of previously received but unsatisfiedorders, the operation of the system 1502 may further include selectingone of the more than one set of previously received but unsatisfiedorders for further generation of synthetic solicitations (Block 1714),such as selecting the one of the more than one set of previouslyreceived but unsatisfied orders containing the least, or alternatively,the most, number of previously received but unsatisfied orders.

The operation of the system 1502 also includes, when the incoming ordertogether with the identified set of previously received but unsatisfiedorders, which may include no orders, if the components thereof werecompleted there between, include at least one fully unsatisfied orderhaving at least one fully unsatisfied component thereof, for each of theat least one fully unsatisfied order for a financial instrument havingmore than one component, generating, for each at least one fullyunsatisfied component, a synthetic solicitation, e.g. an impliedopportunity, for a counter transaction for a financial instrumentcomprising a component identical to the at least one fully unsatisfiedcomponent (Block 1716) and communicating the synthetic solicitation,via, for example, the market data feed, to a plurality of marketparticipants (Block 1718) and for any two or more of the at least onefully unsatisfied orders for financial instruments each having only onecomponent, attempting to identify a financial instrument comprising acombination of those components (Block 1720), and for each identifiedfinancial instrument, generating a synthetic solicitation, e.g. animplied opportunity, for a counter transaction therefore (Block 1722)and communicating (Block 1724), such as via the market data feed, thesynthetic solicitation to the plurality of market participants, whereinthe price of the synthetic solicitation may computed based on thecomponents and other orders resting in the order book therefore.

In one embodiment, the synthetic solicitations are communicated to themarket participants 204 substantially simultaneously, e.g. immediatelysubsequent thereto, with a communications indicating that the incomingorder has not been fully satisfied to the market participant of theplurality of market participants which sent the incoming order.

In one embodiment, the operation of the system 1502 further includessubmitting each synthetic solicitation as an order to the associatedmatch engine (Block 1726) to cause the associated match engine togenerate match event data, e.g. indicative of the order not beingmatched and thereby rested on the order book maintained thereby, basedthereon, the match event data then being communicated to a plurality ofmarket participants 204 to solicit an order counter to the syntheticorder. Alternatively, the synthetic solicitation may be directlyinjected into the market data stream for communication to the marketparticipants 204.

In one embodiment, the operation of the system 1502 further includes,when the incoming order together with the identified set of previouslyreceived but unsatisfied orders, if the transactions for the componentsof the financial instruments thereof were completed there between,includes at least one fully unsatisfied order, i.e. an implied matchcannot be identified, causing the unsatisfied portion, which may be theentire quantity, of the incoming order to be rested on the order book,i.e. treated as a previously received but unsatisfied order to awaitanother subsequently received incoming order counter thereto for theassociated financial instrument, in at least partial satisfaction of oneor both of the subsequently received incoming order or the unsatisfiedportion of the incoming order (Block 1728).

G. In-Band Pre-Trade Credit Controls

As was described above, the ability to see all incoming transactions andmatch events for a given set of markets, such as by the Orderer andDecider components of the Orderer/Decider architecture described above,allows for improved market protection mechanisms, such as improvedcredit controls based on pre-trade transactions, e.g. incoming orders,prior to being received by a match engine, referred to as “in band.”Credit controls generally evaluate trader activity, e.g. trade orders,against specified activity limits, e.g. credit limits, to control theamount of risk, which may be defined as the predicted maximum dollaramount/value that may be lost over a defined period of time based on aparticular confidence level, that a market participant, or groupthereof, may undertake. Risk, as opposed to the mere magnitude of thetransaction, is generally a derived value which contemplates thetransaction in combination with other factors, such as othertransactions from the same or different traders, which may dampen ormagnify the risk of the particular transaction, or for which the riskthereof may be dampened or magnified by the particular transactions. Onemethodology for measuring risk is referred to as percentage of value atrisk (VaR) which is a statistical technique to measure and quantity alevel of financial risk over a period time based on market velocity anddirection, i.e. the rate and direction of price changes in the market.Credit controls may be applied to individual traders and/ororganizations of traders, such as all of the traders working for aparticular broker.

Applying credit controls requires determining the risk incurred witheach transaction undertaken by the market participant which generallyinvolves making one or more assumptions as to future events and applyingthose assumptions to the current transaction. As such transactions maybe related to other transactions undertaken by that market participantas well as other factors, the quantification of the risk of any onetransaction may be performed in numerous different ways based ondifferent assumptions, each possibly yielding a different result, e.g.different accuracy and/or confidence levels, and is generallycomputationally intensive. Accordingly, credit controls have generallybeen applied after transactions have been processed, e.g. after thematching process, so as not to impede transaction throughput. As opposedto evaluating credit limits and applying credit controls based onpost-trade results, referred to as “out of band,” the disclosedembodiments enable proactive operations to apply credit controlseliminating the need, for example, to retroactively “unwind” completed,and likely complex multi-party, transactions which exceeded a trader'scredit limit or otherwise impart excessive risk on the market.

As described above, the disclosed embodiments generally implement a highspeed credit evaluator to maintain credit limits, such as for eachproduct, for each individual account, for each individual side of atrade, or combinations thereof. The disclosed embodiments may furtheraccept limit updates/modifications from external sources on a periodic,non-real time basis, disseminate position and limit data on a scheduledor ad-hoc basis, and enforce positional limits, as calculated based onquantity, in real-time for all incoming orders to the match engine. Inparticular, the disclosed embodiments, having access to all incomingorders, may evaluate not only a specific trader activity, but all othertrader's activity as well so as to be able to determine how a particulartransaction will affect a particular trader's credit position, e.g.present level of risk as compared to their limit, as well as the effecton all of the other traders' credit positions. As opposed to creditcontrol mechanisms implemented by the market participants themselves,which are only privy to the transaction of those market participants,the disclosed embodiments can evaluate the effects of transactions notonly on the party but also on the counter party thereto, as well asother market participants engaged in related transactions.

Furthermore, the disclosed embodiments enable consideration of incomingtransactions in conjunction with resting orders and/or open positions(completed orders) in the submitting market participant's and/or othermarket participants' portfolios, consideration of the probability thatthe incoming order will be fully or partially satisfied/filled such asby looking at the current market depth, other incoming orders for thesame product or counter party activity, as well as consideration of riskto the entire market based on size of the incoming order.

When it is determined that a given transaction causes an increase inrisk above the defined credit limit, the transaction may be blocked. Itwill be appreciated that transactions which do not increase risk above aparticular threshold, are risk neutral or reduce risk, may be permittedeven when the particular market participant's credit limit has beenexceeded. In one embodiment, a risk exceeding transaction may only bepartially filled according to a modified allocation algorithm designedto reduce the risk of the transaction thereby. In one embodiment,multiple credit limit thresholds may be defined whereby a lower limit isspecified to cause preemptive actions to occur, such as a warningmessage and/or may trigger more intensive scrutiny of subsequenttransactions, such as via the application of more accurate, but alsopossibly more computationally intensive, risk computation algorithms. Inone embodiment, patterns of risky activity may be identified based onpre-defined or dynamically defined activity patterns. Furthermore, thedisclosed embodiments, may implement proactive mechanisms to reduce risksuch as by computing and soliciting risk reducing transactions from themarket participants in a similar manner as implied opportunities.

Referring now to FIG. 20 there is shown a block diagram of a system1802, according to one embodiment, for protecting a market implementedby an electronic trading system 100 comprising a plurality of matchengines coupled therewith, which as shown in FIG. 19, may be aconventional match engine 106 which receives orders via an order entrygateway 1902, or, as shown in FIG. 18, may be a redundant match engineset 206 receiving orders via an orderer 210 as described above, or maybe a match engine or match function having an alternative architecture.As used herein, a “match engine” 106 refers to either a conventionalmatch engine or a redundant set of match engines as described. Each ofthe plurality of match engines, i.e. conventional or redundant sets,implement at least one market, or order book representative thereof, foran associated financial instrument, e.g. futures, options contracts, asingle contract therefore or a strategy/combination of contracts, suchas a spread, wherein each associated financial instrument comprises atlease one component wherein, for example, for a futures or optionscontract, the component is the contract itself and for astrategy/combination contract having more than one component wherein thecomponents are the leg orders/contracts/instruments thereof, as wasdescribed above. Each of the plurality of match engines 106 is operativeto attempt to match an incoming, e.g. received from a market participantor other source, order for a transaction, which may specify theside/intent (buy/sell), desired price and desired quantity and/or otherparameters/conditions, for the associated financial instrument with atleast one other previously received but unsatisfied, e.g. unmatched oronly partially filled (resting), order for a transaction counter theretofor the associated financial instrument, to at least partially satisfy,e.g. partially fill, one or both of the incoming order or the at leastone other previously received order, that is wherein each component, asgoverned by the transaction (distributively applied), is at leastpartially satisfied. In one embodiment, the system 1802 is implementedas a reconfigurable logic device, e.g. FPGA, and coupled with the matchengines. For example, in one implementation, the system 1802 may becoupled with the orderer 210 and/or decider 212 described above and, mayfurther be implemented on the same FPGA device.

As shown in FIGS. 18 and 19, the system 1802 is logically and/orphysically located between the transaction ingress point 142 of theelectronic trading system 100 and the order entry processingfunctionality, i.e. the order entry gateway or orderer, so that alltransactions flow through and can be evaluated as described. Forexample, incoming orders validated by the system 1802 are forwarded tothe match engine 106 via the orderer or order entry gateway 1902. Matchevents, described above, reflecting the particulars of the result of thematching process are communicated back from the match engine 106 andthrough the system 1802 so that such events can be factored into theevaluation of subsequent transactions as will be described. The system1802 may be coupled with the orderer or order entry gateway 1902 via aninterface such as PCIe interface or via the physical network later 202,or via other communications medium or combination thereof.

The system 1802 includes a transaction receiver 2002 coupled with anetwork 202 and operative to receive an incoming order from anassociated market participant 204 of the plurality of marketparticipants 204. The transaction receiver 2002 may be implemented asone or more logic components of an FPGA, such as the same FPGA in whichthe orderer 210 and decider 212 are implemented as described above, orotherwise coupled therewith, such as via the network device backplane.Alternatively, the transaction receiver 2002 may be implemented aslogic, such as computer program logic, stored in a memory and executableby a processor coupled therewith to cause the processor to act asdescribed.

The system 1802 further includes a transaction validator 2004, which maybe implemented as one or more logic components of an FPGA, such as thesame FPGA in which the orderer 210 and decider 212 are implemented asdescribed above, or otherwise coupled therewith, such as via the networkdevice backplane. Alternatively, the transaction validator 2004 may beimplemented as logic, such as computer program logic, stored in a memoryand executable by a processor coupled therewith to cause the processorto act as described. The transaction validator 2004 is coupled with thetransaction receiver 2002 and the match engine 106 and, prior toforwarding the incoming order to the match engine 106, such as via theorderer or order entry gateway 1902, operative to, based on the incomingorder, one or more previously received but unsatisfied orders, e.g. ofthe associated market participant or other market participants, and/orone or more previously received satisfied orders of the associatedmarket participant or other market participants, for at least onefinancial instrument wherein one or more of the components thereofremain incomplete, derive a risk of loss, e.g. of the market participantand/or the market, of the incoming order if the incoming order were tobe at least partially satisfied by at least one other previouslyreceived but unsatisfied, e.g. not matched or partially filled, orderand, based thereon, determine whether the incoming order is valid andfurther to cause the valid incoming order to be forwarded to the matchengine 106 and cause the transaction receiver 2002 to at leastcommunicate notification of the invalid incoming order back to theassociated market participant 204, an administrator of the tradingsystem 100 or a combination thereof.

In one embodiment, the derived risk of loss may comprises a potentialloss in value over a predefined period of time at a predefinedconfidence level. For example, the potential loss in value may includeone of the potential loss in value of the incoming order, of one or morepreviously received satisfied orders of the associated marketparticipant for at least one financial instrument wherein one or more ofthe component instrument/transactions thereof remain incomplete, of themarket, or a combination thereof.

In one embodiment, the transaction validator 2004 is further operativeto derive the risk of loss based on a probability that the incomingorder will be satisfied by one or more subsequently received orders. Inone embodiment, the derived risk of loss may be independent of, orotherwise different from, the magnitude of a quantity or price of theincoming order. It will be appreciated that the incoming order may causethe derived risk of loss to increase, decrease or remain the same.

In one embodiment, the transaction validator 2004 is operative todetermine whether the incoming order is valid by comparing the derivedrisk of loss to a threshold, wherein the incoming order is determined tobe valid when the derived risk of loss does not exceed, or otherwisedeviates from, the threshold. For example, the threshold may be a creditlimit specified for the particular market participant. In oneembodiment, the system 1802 further includes a memory 2006, which may bea memory component of an FPGA or other storage device, and may be a partof the account data function 104 of the electronic trading system 100.The memory 2006 may store the credit limits for one or more of themarket participants. As the system 1802 receives match event dataresulting from the processing of validated transactions by the matchengine 106, the stored credit limits may be updated or otherwiseannotated to reflect the impact of the match engine processing, e.g.whether the transaction was matched (fully or partially) or rested,etc., on the particular credit limit for application to the evaluationof subsequent transactions. As was described above, mechanisms may beprovided, such as user interface, by which credit limit updates, e.g. toincrease or reduce the limit, may be received and applied. In oneembodiment, the transaction validator 2004 may be further operative tocompare the derived risk of loss to one or more other thresholds, whichmay also be stored in the memory 2007 and may be greater to or less thanthe validity threshold, which may be referred to as high or low watermarks, wherein an administrator of the trading system is notified, orother action is taken, when the derived risk of loss exceeds, orotherwise deviates from, the other threshold.

In one embodiment, the transaction validator 2004 is further operativeto derive the risk of loss further based on one or more other incomingorders received from the same and/or any of the plurality of marketparticipants. The incoming order and the one or more other incomingorders may be representative of a behavioral pattern indicative of risk,e.g. risk increasing or risk decreasing behavior.

In one embodiment, the transaction validator 2004 may be furtheroperative, when the incoming order is determined to be invalid, preventthe order from being forwarded to the match engine 106. Alternatively,or in addition thereto, the transaction validator 2004 may be furtheroperative, when the incoming order is determined to be invalid, causethe incoming order to be only partially satisfied thereby reducing thederived risk of loss. Alternatively, or in addition thereto, thetransaction validator 2004 may be further operative, when the incomingorder is determined to be invalid, compute an order which, if satisfied,would cause a reduction in the derived risk of loss, and transmit arequest for the computed order to the plurality of market participants204. Alternatively, or in addition thereto, where allowing the orderwould increase the risk of loss to within a threshold value, thetransaction validator 2004 may further compute and advertise, e.g.solicit from the market participants, an order calculated to reduce thederived risk.

FIG. 21 depicts a flow chart 2100 showing operation of the system 1802of FIG. 20. In particular FIG. 21 shows a method for protecting a marketimplemented by an electronic trading system 100 comprising a pluralityof match engines coupled therewith, which as shown in FIG. 19 may be aconventional match engine 106 which receives orders via an order entrygateway 1902, or, as shown in FIG. 18, may be a redundant match engineset 206 receiving orders via an orderer 210 as described above, or maybe a match engine or match function having an alternative architecture.As used herein, a “match engine” 106 refers to either a conventionalmatch engine or a redundant set of match engines as described. Each ofthe plurality of match engines, i.e. conventional or redundant sets,implement at least one market, or order book representative thereof, foran associated financial instrument, e.g. futures, options contracts, asingle contract therefore or a strategy/combination of contracts, suchas a spread, wherein each associated financial instrument comprises atlease one component wherein, for example, for a futures or optionscontract, the component is the contract itself and for astrategy/combination contract having more than one component wherein thecomponents are the leg orders/contracts/instruments thereof, as wasdescribed above. Each of the plurality of match engines 106 is operativeto attempt to match an incoming, e.g. received from a market participantor other source, order for a transaction, which may specify theside/intent (buy/sell), desired price and desired quantity and/or otherparameters/conditions, for the associated financial instrument with atleast one other previously received but unsatisfied, e.g. unmatched oronly partially filled (resting), order for a transaction counter theretofor the associated financial instrument, to at least partially satisfy,e.g. partially fill, one or both of the incoming order or the at leastone other previously received order, that is wherein each component, asgoverned by the transaction (distributively applied), is at leastpartially satisfied. In one embodiment, the system 1802 is implementedas a reconfigurable logic device, e.g. FPGA, and coupled with the matchengines. For example, in one implementation, the system 1802 may becoupled with the orderer 210 and/or decider 212 described above and, mayfurther be implemented on the same FPGA device.

The operation of the system 1802 includes receiving an incoming orderfrom an associated market participant 204 of the plurality of marketparticipants 204 (Block 2102).

The operation of the system 1802 further includes, prior to forwardingthe incoming order to the match engine 106, deriving, based on theincoming order, one or more previously received but unsatisfied orders,e.g. of the associated market participant or other market participants,and/or one or more previously received satisfied orders of theassociated market participant or other market participants, for at leastone financial instrument wherein one or more of the components thereofremain incomplete, a risk of loss, e.g. of the market participant and/orthe market, of the incoming order if the incoming order were to be atleast partially satisfied by at least one other previously received butunsatisfied, e.g. not matched or partially filled, order and, basedthereon, determine whether the incoming order is valid and further tocause the valid incoming order to be forwarded to the match engine 106and cause the transaction receiver 2002 to at least communicatenotification of the invalid incoming order back to the associated marketparticipant 204, an administrator of the trading system 100 or acombination thereof (Block 2104).

In one embodiment, the derived risk of loss may comprises a potentialloss in value over a predefined period of time at a predefinedconfidence level. For example, the potential loss in value may includeone of the potential loss in value of the incoming order, of one or morepreviously received satisfied orders of the associated marketparticipant for at least one financial instrument wherein one or more ofthe component instrument/transactions thereof remain incomplete, of themarket, or a combination thereof.

In one embodiment, the risk of loss may be derived based on aprobability that the incoming order will be satisfied by one or moresubsequently received orders. In one embodiment, the derived risk ofloss may be independent of, or otherwise different from, the magnitudeof a quantity or price of the incoming order. It will be appreciatedthat the incoming order may cause the derived risk of loss to increase,decrease or remain the same.

In one embodiment, the operation of the system 1802 further includesdetermining whether the incoming order is valid by comparing the derivedrisk of loss to a threshold, wherein the incoming order is determined tobe valid when the derived risk of loss does not exceed, or otherwisedeviates from, the threshold (Block 2106). For example, the thresholdmay be a credit limit specified for the particular market participant.In one embodiment, the operation of the system 1802 may further includestoring credit limits for one or more of the market participants, suchas in a memory 2006, which may be a memory component of an FPGA or otherstorage device, and may be a part of the account data function 104 ofthe electronic trading system 100. As was described above, mechanismsmay be provided, such as user interface, by which credit limit updates,e.g. to increase or reduce the limit, may be received and applied. Inone embodiment, the operation of the system 1802 may further includecomparing the derived risk of loss to one or more other thresholds,which may also be stored in the memory 2007 and may be greater to orless than the validity threshold, which may be referred to as high orlow water marks, wherein an administrator of the trading system isnotified, or other action is taken, when the derived risk of lossexceeds, or otherwise deviates from, the other threshold.

In one embodiment, the risk of loss may be derived further based on oneor more other incoming orders received from the same and/or any of theplurality of market participants. The incoming order and the one or moreother incoming orders may be representative of a behavioral patternindicative of risk, e.g. risk increasing or risk decreasing behavior.

In one embodiment, the operation of the system 1802 may further include,when the incoming order is determined to be invalid, preventing theorder from being forwarded to the match engine 106 (Block 2108).Alternatively, or in addition thereto, the operation of the system 1802may further include, when the incoming order is determined to beinvalid, causing the incoming order to be only partially satisfiedthereby reducing the derived risk of loss (Block 2110). Alternatively,or in addition thereto, the operation of the system 1802 may furtherinclude, when the incoming order is determined to be invalid, computingan order which, if satisfied, would cause a reduction in the derivedrisk of loss, and transmit a request for the computed order to theplurality of market participants 204 (Block 2112). Alternatively, or inaddition thereto, where allowing the order would increase the risk ofloss to within a threshold value, the operation of the system 1802 mayfurther include computing and advertising, e.g. soliciting from themarket participants, an order calculated to reduce the derived risk.

H. Unattached Order Books

As was described above, in one embodiment of the disclosed electronictrading system architecture, multiple generic match engines 106, orredundant match engine sets 206/208, as described above, are providedwhich are capable of processing a transaction for any of the marketsprovided by the electronic trading system. All of the order books may bemaintained in a centrally accessible memory architecture. As incomingorders are received, they may be allocated or otherwise disseminated toone of the generic match engines (or match engine sets). To determinewhich match engine (or set) to send the transaction for processing, thesystem may determine the outright and all related order books to thegiven transaction. If the identified order books have not yet beenallocated to a match engine (or set thereof), an available match engine(or set) is selected, the identified order books, and in one embodimentthe match policy/algorithm to be applied, are allocated and the incomingtransaction is routed thereto. If the identified order books are alreadyallocated to one of the match engines (or sets), the incoming order isrouted to that match engine (or set). During transaction processing, thematch engine (or set) accesses and updates the order books as needed toperform the matching and implication functions as described. When thematch engine (or set) has completed processing of all transactions,before another transaction is routed thereto, it relinquishes itsallocation of the identified order books, and is then available for anew transaction for a new set of identified order books.

This enables, for example, computation of implied matches and/oropportunities via access to all of the interdependent order booksnecessary so as to be able to identify suitable markets and actual orhypothetical resting orders therein which permit a given transaction tobe completed. The central storage an allocation of order books,effectively on demand, to any of a set of generic match enginesovercomes the limited data storage capacity and/or bandwidth of existingmatch engines, improving liquidity and the variety of product offerings,as well as transaction throughput and fault tolerance.

In one embodiment, the allocation of identified order books may furtherinclude allocation of a defined matching policy/algorithm to be appliedby the match engine (or set). This allows different matching algorithmsto be used by each match engine.

As will be described, allocation of the identified order books may beimplemented by actually transferring the data representative thereof toa memory associated with the selected match engine and then transferringthe updated order books back to the central memory upon deallocation.Alternatively, access to the central memory and, further, to theidentified order books, may be allocated such as by providing the memoryaddress locations of identified order books in the central memory to theselected match engine (or set), such as via provision of a sparse matrixor other data structure which comprises the identification of therequisite memory locations. Updates to the order books in the centralmemory may then be accomplished via remote direct memory access (“RDMA”)or other back channel network based memory access. It will beappreciated other storage resource sharing mechanisms may be utilized,such as non-uniform memory architecture (NUMA) compliant mechanisms,structured or unstructured databases, such as tag clouds, etc.

The disclosed embodiment, thereby, provide for fungible generic matchengines which can handle independent/unrelated markets in parallel. Inone embodiment, the number of generic match engines (or sets thereof)may be set so as to statistically minimize transaction latency amongtransactions to independent/unrelated markets. Order books may be onlytied to a given match engine (or set) for the duration of the orderprocessing of transactions therein. By altering the degree ofinterdependencies computed to identify related order books, parallelismamong transaction processing and/or liquidity/trading opportunities canbe balanced.

Referring now to FIG. 22 there is shown a block diagram of a system2200, which may also be referred to as an architecture, according to oneembodiment, for improving efficiency of an electronic trading system 100for a plurality of financial instruments, each of the plurality offinancial instruments, e.g. futures, options contracts, a singlecontract therefore or a strategy/combination of contracts, such as aspread, wherein each associated financial instrument comprises at leaseone component wherein, for example, for a futures or options contract,the component is the contract itself and for a strategy/combinationcontract having more than one component wherein the components are theleg orders/contracts/instruments thereof, as was described above. Asdescribed above, the electronic trading system 100 may include aplurality of generic match engines 2206 coupled therewith, each of whichmay be a conventional match engine 106 which receives orders via anorder entry gateway (not shown), or, as described above, may be aredundant match engine set 206 receiving orders via an orderer 210 asdescribed above, or may be a match engine or match function having analternative architecture. As used herein, a “match engine” 106 refers toeither a conventional match engine or a redundant set of match enginesas described. As will be described, each of the plurality of matchengines, i.e. conventional or redundant sets, implements at least onemarket, or order book representative thereof, for an associatedfinancial instrument, e.g. futures, options contracts, a single contracttherefore or a strategy/combination of contracts, such as a spread,wherein each associated financial instrument comprises at lease onecomponent wherein, for example, for a futures or options contract, thecomponent is the contract itself and for a strategy/combination contracthaving more than one component wherein the components are the legorders/contracts/instruments thereof, as was described above. Each ofthe plurality of match engines 106 is operative to attempt to match anincoming, e.g. received from a market participant or other source, orderfor a transaction, which may specify the side/intent (buy/sell), desiredprice and desired quantity and/or other parameters/conditions, for theassociated financial instrument with at least one other previouslyreceived but unsatisfied, e.g. unmatched or only partially filled(resting), order for a transaction counter thereto for the associatedfinancial instrument, to at least partially satisfy, e.g. partiallyfill, one or both of the incoming order or the at least one otherpreviously received order, that is wherein each component, as governedby the transaction (distributively applied), is at least partiallysatisfied.

As shown in FIG. 23, in one embodiment, the system 2200 is implementedas a reconfigurable logic device, e.g. FPGA, and coupled with the matchengines 2206. For example, in one implementation, the system 2200 may becoupled with the orderer 210 and/or decider 212 described above and, mayfurther be implemented on the same FPGA device. In one embodiment, thesystem 2200 is implemented as part of the matching function 106 of theelectronic trading system 100. It will be appreciated that the system2200 may be implemented as part of other functions of the electronictrading system 100, or otherwise coupled with the communicationsinfrastructure 202, which as described above, interconnects the variouscomponents of the electronic trading system 100. In one embodiment, thesystem 2202 is implemented as a reconfigurable logic device, e.g. FPGA,coupled with the orderer 210 and/or decider 212 described above and, inone implementation, is implemented on the same FPGA device.

The system 2200 includes a memory 2204, e.g. an order book memory,operative to store data representative of a set of previously receivedbut unsatisfied orders, e.g. which may be grouped into order books, suchas by product for which the order is for, each order being for atransaction, which may specify side (buy/sell), price and/or quantity,for at least one of the plurality of financial instruments. The memory2204 may be implemented as a memory component of a reconfigurable logicdevice, e.g. an FPGA, as described above, or alternatively implementedusing another type of memory or storage device, such as the memory 2504or storage device 2506 described below with respect to FIG. 25.

The system 2200, as described above, further includes, or is otherwisecoupled with, a plurality of match engines 2206 coupled with the memory2204, each of the plurality of match engines may be generic, fungible orotherwise non-order/non-match-algorithm specific, and further operativeto implement, as described above, at least one market, e.g. order book,for an associated a financial instrument, such as a futures or optionscontract, or other single contract or strategy/combination of contracts,of the plurality of financial instruments. Each match engine 2206 beingfurther operative to attempt to match, e.g. according to a matchalgorithm/policy, an incoming order provided or otherwise routed ordirected thereto for a transaction, which may have been received from amarket participant 204 or other source, which as described above mayspecify side (buy/sell), price and/or quantity, for the associatedfinancial instrument with at least one other of the set of previouslyreceived but unsatisfied, e.g. unmatched or only partially filled,orders, the at least one other previously received but unsatisfied orderbeing for a transaction counter thereto for a financial instrument ofthe plurality of financial instruments having at least one component incommon with the financial instrument of the incoming order, to at leastpartially satisfy, e.g. fill, one or both of the incoming order or theat least one other previously received order. Each match engine 2206 isthen further operative to update or otherwise, e.g. to add the incomingorder and/or update the stored counter order, the stored data, e.g. theorder book, in the memory 2204, as will be described, representative ofthe set of previously received but unsatisfied orders based thereon.

In one embodiment, the set of previously received but unsatisfied ordersfurther may further include, or otherwise may be subdivided into onemore financial instrument subsets, each financial instrument subset,e.g. order book, comprising those previously received orders of the setwhich are for a transaction for the same financial instrument of theplurality of financial instruments, wherein the order book allocator2202 is further operative to determine the subset of the set ofpreviously received but unsatisfied orders by identifying thosefinancial instrument subsets associated with financial instrumentshaving at least one component thereof, e.g. are interdependent, incommon with each other and the financial instrument of the incomingorder. In this way all interdependent order books may be allocated tothe particular selected match engine 2206 which, as will be describedabove and further below, may facilitate implication. For example, in oneembodiment, each of the plurality of match engines 2206 may be furtheroperative to attempt to identify an implied match for the incoming orderamong the orders of the allocated subset for financial instruments,described below, which are not identical to the financial instrument ofthe incoming order.

In one embodiment, each of the plurality of match engines 2206 may beoperative to update the stored data in the memory 2204 using a backchannel protocol. Alternatively, each of the plurality of match engines2206 may be operative to update the stored data in the memory 2204 usinga remote direct memory access (“RDMA”) protocol.

In one embodiment, the plurality of match engines 2206 includessufficient match engines 2206 such that a match engine 2206 is alwaysavailable to have routed thereto an incoming order associated with anunallocated subset of the set of previously received but unsatisfiedorders.

The system 2200 further includes an order book allocator 2202, which mayalso be referred to as an order router and/or balancer and which may beimplemented as one or more logic components of an FPGA, such as the sameFPGA in which the orderer 210 and decider 212 are implemented asdescribed above, or otherwise coupled therewith, such as via the networkdevice backplane. Alternatively, the order book allocator 2202 may beimplemented as logic, such as computer program logic, stored in a memoryand executable by a processor coupled therewith to cause the processorto act as described. The order book allocator 2202 is coupled with thememory 2204 and the plurality of match engines 2206 and operative to,upon receipt of an incoming order from a market participant 204 for atransaction for a financial instrument, determine a subset of the set ofpreviously received but unsatisfied orders each having at least onecomponent of the associated financial instrument in common with thefinancial instrument of the incoming order, and determine if access tothe subset has been previously allocated, e.g. accorded, provided orotherwise granted, to one of the plurality of match engines 2206, whichmay imply that the incoming order is related to a prior order which isstill undergoing the match process, and, where access to the subset hasbeen previously allocated to one of the plurality of match engines 2206,route, or otherwise provide, the incoming order thereto for a matchattempt thereby, and wherein access to the subset has not been allocatedto one of the match engines 2206, select one of the plurality of matchengines 2206, allocate access to the subset to the selected match engine2206 and route the incoming order to the selected match engine 2206 fora match attempt thereby. In one embodiment, the allocation of the subsetmay include transferring at least a copy of the subset to a memory 2208,e.g. a cache or other local memory, associated with the selected matchengine 2206.

In one embodiment, the order book allocator 2202 is operative tofacilitate access to the subset by providing the data representativethereof to the particular match engine 2206 for use thereby andretrieving the data representative of the subset from the match engine2206 subsequent to the updating thereby.

In one embodiment, the order book allocator 2202 is further operative todeallocate access to the subset when the selected match engine 2206 hascompleted the attempt to match all incoming orders routed thereto priorto another incoming order being routed thereto.

In one embodiment, the order book allocator 2202 may further maintain adata structure or database 2212, which may be a sparse matrix or array,which stores data representative of which financial instruments of theplurality of financial instruments have at least one component thereofin common with another of the financial instruments of the plurality offinancial instruments, which financial instruments, and thereby whichorder books, are interdependent. This data structure 2212 may furtherstore the locations in the memory 2204 in which each of the set ofpreviously received but unsatisfied orders is stored, which as describedabove, may be subdivided, logically and/or physically, by order book.

In one embodiment, the order book allocator 2202 is operative to selectone of the plurality of match engines 2206 based on an availabilitythereof, e.g. based on a selection algorithm, such as round robin, leastrecently used, load balancing, etc.

In one embodiment, the allocation of access to the subset furthercomprises provision of a match algorithm or policy associated with thesubset for the selected match engine 2206 to use when an incoming ordermay be matched with more than one previously received but unsatisfiedorder. This allows different order books to utilize different matchalgorithms/policies independent of the match engine 226 to which theyare allocated. The match algorithm may be a pro-rata algorithm, a firstin first out (“FIFO”) algorithm, a Price Explicit Time algorithm, anOrder Level Pro Rata algorithm, an Order Level Priority Pro Rataalgorithm, a Preference Price Explicit Time algorithm, a PreferenceOrder Level Pro Rata algorithm, a Preference Order Level Priority ProRata algorithm, a Threshold Pro-Rata algorithm, a Priority ThresholdPro-Rata algorithm, a Preference Threshold Pro-Rata algorithm, aPriority Preference Threshold Pro-Rata algorithm, a Split Price-TimePro-Rata algorithm, or combinations thereof.

In one embodiment, the memory 2204 further comprises a plurality ofmemory portions 2208, e.g. cache or local memories, as described above,each associated with one of the plurality of match engines 2206 andcapable of storing at least the data representative of the subset of theset of previously received but unsatisfied orders. The order bookallocator 2202 may then be further operative to detect, e.g. viasnooping or snarling, an update to the stored data in one of theplurality of memory portions 2208 by the match engine 2206 associatedtherewith and cause the update to be available to the others of theplurality of match engines 2206, e.g. write back.

In one embodiment, the system 2200 further includes an implicator (notshown), such as the implicator 1102 as was described above, coupled withthe memory 2204, the plurality of match engines 2206 and the order bookallocator 2202, and operative to, as described above, when a matchengine 2206 is unable to match the incoming order with at least onepreviously received but unsatisfied order for a counter transaction forthe particular financial instrument of the incoming order, identify atleast one previously received but unsatisfied order for a countertransaction for a financial instrument having at least one component incommon with the particular financial instrument of the incoming order,and generate a synthetic, e.g. implied, order therefore and submit thesynthetic order to the electronic trading system 100 or otherwisedirectly to the associated match engine 2206.

In one embodiment, the system 2200 further includes an order router 2214coupled with the plurality of match engines 2206 and the order bookallocator 2202 and operative to route an incoming order to one of theplurality of match engines 2206 based on available processing capacityof each of the plurality of match engines 2206, e.g. subject to a loadbalancing algorithm or other allocation algorithm, the one of theplurality of match engines 2206 being the same engine to which a priorincoming order for a transaction for the same financial instrument asthe incoming order was routed, or a combination thereof.

FIG. 24 depicts a flow chart 2400 showing operation of the system 2200of FIGS. 22 and 23. In particular FIG. 24 shows a computer implementedmethod for improving efficiency of an electronic trading system 100 fora plurality of financial instruments, each of the plurality of financialinstruments, e.g. futures, options contracts, a single contracttherefore or a strategy/combination of contracts, such as a spread,wherein each associated financial instrument comprises at lease onecomponent wherein, for example, for a futures or options contract, thecomponent is the contract itself and for a strategy/combination contracthaving more than one component wherein the components are the legorders/contracts/instruments thereof, as was described above. Asdescribed above, the electronic trading system 100 may include aplurality of generic match engines 2206 coupled therewith, each of whichmay be a conventional match engine 106 which receives orders via anorder entry gateway (not shown), or, as described above, may be aredundant match engine set 206 receiving orders via an orderer 210 asdescribed above, or may be a match engine or match function having analternative architecture. As used herein, a “match engine” 106 refers toeither a conventional match engine or a redundant set of match enginesas described. As will be described, each of the plurality of matchengines, i.e. conventional or redundant sets, implements at least onemarket, or order book representative thereof, for an associatedfinancial instrument, e.g. futures, options contracts, a single contracttherefore or a strategy/combination of contracts, such as a spread,wherein each associated financial instrument comprises at lease onecomponent wherein, for example, for a futures or options contract, thecomponent is the contract itself and for a strategy/combination contracthaving more than one component wherein the components are the legorders/contracts/instruments thereof, as was described above. Each ofthe plurality of match engines 106 is operative to attempt to match anincoming, e.g. received from a market participant or other source, orderfor a transaction, which may specify the side/intent (buy/sell), desiredprice and desired quantity and/or other parameters/conditions, for theassociated financial instrument with at least one other previouslyreceived but unsatisfied, e.g. unmatched or only partially filled(resting), order for a transaction counter thereto for the associatedfinancial instrument, to at least partially satisfy, e.g. partiallyfill, one or both of the incoming order or the at least one otherpreviously received order, that is wherein each component, as governedby the transaction (distributively applied), is at least partiallysatisfied.

The operation of the system 2200 includes storing, such as in a memory2204, e.g. an order book memory, data representative of a set ofpreviously received but unsatisfied orders, e.g. which may be groupedinto order books, such as by product for which the order is for, eachorder being for a transaction, which may specify side (buy/sell), priceand/or quantity, for at least one of the plurality of financialinstruments (Block 2402).

The operation of the system 2200, as described above, further includesimplementing a plurality of match engines 2206, each of the plurality ofmatch engines may be generic, fungible or otherwisenon-order/non-match-algorithm specific, and further operative toimplement, as described above, at least one market, e.g. order book, foran associated a financial instrument, such as a futures or optionscontract, or other single contract or strategy/combination of contracts,of the plurality of financial instruments (Block 2404). Each matchengine 2206 being further operative to attempt to match, e.g. accordingto a match algorithm/policy, an incoming order provided or otherwiserouted or directed thereto for a transaction, which may have beenreceived from a market participant 204 or other source, which asdescribed above may specify side (buy/sell), price and/or quantity, forthe associated financial instrument with at least one other of the setof previously received but unsatisfied, e.g. unmatched or only partiallyfilled, orders, the at least one other previously received butunsatisfied order being for a transaction counter thereto for afinancial instrument of the plurality of financial instruments having atleast one component in common with the financial instrument of theincoming order, to at least partially satisfy, e.g. fill, one or both ofthe incoming order or the at least one other previously received order.Each match engine 2206 is then further operative to update or otherwise,e.g. to add the incoming order and/or update the stored counter order,the stored data, e.g. the order book, in the memory 2204, as will bedescribed, representative of the set of previously received butunsatisfied orders based thereon.

In one embodiment, the set of previously received but unsatisfied ordersfurther may further include, or otherwise may be subdivided into onemore financial instrument subsets, each financial instrument subset,e.g. order book, comprising those previously received orders of the setwhich are for a transaction for the same financial instrument of theplurality of financial instruments, wherein the order book allocator2202 is further operative to determine the subset of the set ofpreviously received but unsatisfied orders by identifying thosefinancial instrument subsets associated with financial instrumentshaving at least one component thereof, e.g. are interdependent, incommon with each other and the financial instrument of the incomingorder. In this way all interdependent order books may be allocated tothe particular selected match engine 2206 which, as will be describedabove and further below, may facilitate implication. For example, in oneembodiment, each of the plurality of match engines 2206 may be furtheroperative to attempt to identify an implied match for the incoming orderamong the orders of the allocated subset for financial instruments,described below, which are not identical to the financial instrument ofthe incoming order.

In one embodiment, each of the plurality of match engines 2206 may beoperative to update the stored data in the memory 2204 using a backchannel protocol. Alternatively, each of the plurality of match engines2206 may be operative to update the stored data in the memory 2204 usinga remote direct memory access (“RDMA”) protocol.

In one embodiment, the plurality of match engines 2206 includessufficient match engines 2206 such that a match engine 2206 is alwaysavailable to have routed thereto an incoming order associated with anunallocated subset of the set of previously received but unsatisfiedorders.

The operation of the system 2200 further includes determining a subsetof the set of previously received but unsatisfied orders each having atleast one component of the associated financial instrument in commonwith the financial instrument of the incoming order (Block 2406), anddetermining if access to the subset has been previously allocated, e.g.accorded, provided or otherwise granted, to one of the plurality ofmatch engines 2206 (Block 2408), which may imply that the incoming orderis related to a prior order which is still undergoing the match process,and, where access to the subset has been previously allocated to one ofthe plurality of match engines 2206, routing, or otherwise providing,the incoming order thereto for a match attempt thereby (Block 2410), andwherein access to the subset has not been allocated to one of the matchengines 2206, selecting one of the plurality of match engines 2206(Block 2412), allocating access to the subset to the selected matchengine 2206 (Block 2414) and routing the incoming order to the selectedmatch engine 2206 for a match attempt thereby (Block 2416). In oneembodiment, the allocation of the subset may include transferring atleast a copy of the subset to a memory 2208, e.g. a cache or other localmemory, associated with the selected match engine 2206.

In one embodiment, facilitation of access to the subset may beimplemented by providing the data representative thereof to theparticular match engine 2206 for use thereby and retrieving the datarepresentative of the subset from the match engine 2206 subsequent tothe updating thereby.

In one embodiment, the operation of the system 2200 further includesdeallocating access to the subset when the selected match engine 2206has completed the attempt to match all incoming orders routed theretoprior to another incoming order being routed thereto (Block 2418).

In one embodiment, the operation of the system 2200 may further includemaintaining a data structure or database 2212, which may be a sparsematrix or array, which stores data representative of which financialinstruments of the plurality of financial instruments have at least onecomponent thereof in common with another of the financial instruments ofthe plurality of financial instruments, which financial instruments, andthereby which order books, are interdependent (Block 2420). This datastructure 2212 may further store the locations in the memory 2204 inwhich each of the set of previously received but unsatisfied orders isstored, which as described above, may be subdivided, logically and/orphysically, by order book.

In one embodiment, the selection of one of the plurality of matchengines 2206 may be based on an availability thereof, e.g. based on aselection algorithm, such as round robin, least recently used, loadbalancing, etc.

In one embodiment, the allocation of access to the subset furthercomprises provision of a match algorithm or policy associated with thesubset for the selected match engine 2206 to use when an incoming ordermay be matched with more than one previously received but unsatisfiedorder. This allows different order books to utilize different matchalgorithms/policies independent of the match engine 226 to which theyare allocated. The match algorithm may be a pro-rata algorithm, a firstin first out (“FIFO”) algorithm, a Price Explicit Time algorithm, anOrder Level Pro Rata algorithm, an Order Level Priority Pro Rataalgorithm, a Preference Price Explicit Time algorithm, a PreferenceOrder Level Pro Rata algorithm, a Preference Order Level Priority ProRata algorithm, a Threshold Pro-Rata algorithm, a Priority ThresholdPro-Rata algorithm, a Preference Threshold Pro-Rata algorithm, aPriority Preference Threshold Pro-Rata algorithm, a Split Price-TimePro-Rata algorithm, or combinations thereof.

One skilled in the art will appreciate that one or morefunctions/modules described herein may be implemented using, among otherthings, a logic component such as a reconfigurable logic component, e.g.an FPGA, which may include a logical processing portion coupled with amemory portion, or as a tangible computer-readable medium comprisingcomputer-executable instructions (e.g., executable software code)executable by a processor coupled therewith to implement thefunction(s). Alternatively, functions/modules may be implemented assoftware code, firmware code, hardware, and/or a combination of theaforementioned. For example the functions/modules may be embodied aspart of an electronic trading system 100 for financial instruments.

Referring to FIG. 25, an illustrative embodiment of a general computersystem 2500 is shown. The computer system 2500 can include a set ofinstructions that can be executed to cause the computer system 2500 toperform any one or more of the methods or computer based functionsdisclosed herein. The computer system 2500 may operate as a standalonedevice or may be connected, e.g., using a network, to other computersystems or peripheral devices. Any of the components of the electronictrading system 100 discussed above may be a computer system 2500 or acomponent in the computer system 2500. The computer system 2500 mayimplement a match engine, margin processing, payment or clearingfunction on behalf of an exchange, such as the Chicago MercantileExchange, of which the disclosed embodiments are a component thereof.

In a networked deployment, the computer system 2500 may operate in thecapacity of a server or as a client user computer in a client-serveruser network environment, as a peer computer system in a peer-to-peer(or distributed) network environment, or as a network device such as aswitch, gateway or router. The computer system 2500 can also beimplemented as or incorporated into various devices, such as a personalcomputer (PC), a tablet PC, a set-top box (STB), a personal digitalassistant (PDA), a mobile device, a palmtop computer, a laptop computer,a desktop computer, a communications device, a wireless telephone, aland-line telephone, a control system, a camera, a scanner, a facsimilemachine, a printer, a pager, a personal trusted device, a web appliance,a network router, switch or bridge, or any other machine capable ofexecuting a set of instructions (sequential or otherwise) that specifyactions to be taken by that machine. In a particular embodiment, thecomputer system 2500 can be implemented using electronic devices thatprovide voice, video or data communication. Further, while a singlecomputer system 2500 is illustrated, the term “system” shall also betaken to include any collection of systems or sub-systems thatindividually or jointly execute a set, or multiple sets, of instructionsto perform one or more computer functions.

As illustrated in FIG. 25, the computer system 2500 may include aprocessor 2502, e.g., a central processing unit (CPU), a graphicsprocessing unit (GPU), or both. The processor 2502 may be a component ina variety of systems. For example, the processor 2502 may be part of astandard personal computer or a workstation. The processor 2502 may beone or more general processors, digital signal processors, applicationspecific integrated circuits, field programmable gate arrays, servers,networks, digital circuits, analog circuits, combinations thereof, orother now known or later developed devices for analyzing and processingdata. The processor 2502 may implement a software program, such as codegenerated manually (i.e., programmed).

The computer system 2500 may include a memory 2504 that can communicatevia a bus 2508. The memory 2504 may be a main memory, a static memory,or a dynamic memory. The memory 2504 may include, but is not limited tocomputer readable storage media such as various types of volatile andnon-volatile storage media, including but not limited to random accessmemory, read-only memory, programmable read-only memory, electricallyprogrammable read-only memory, electrically erasable read-only memory,flash memory, magnetic tape or disk, optical media and the like. In oneembodiment, the memory 2504 may be a memory component of areconfigurable logic device, e.g. an FPGA. In one embodiment, the memory2504 includes a cache or random access memory for the processor 2502. Inalternative embodiments, the memory 2504 is separate from the processor2502, such as a cache memory of a processor, the system memory, or othermemory. The memory 2504 may be an external storage device or databasefor storing data. Examples include a hard drive, compact disc (“CD”),digital video disc (“DVD”), memory card, memory stick, floppy disc,universal serial bus (“USB”) memory device, or any other deviceoperative to store data. The memory 2504 is operable to storeinstructions executable by the processor 2502. The functions, acts ortasks illustrated in the figures or described herein may be performed bythe programmed processor 2502 executing the instructions 2512 stored inthe memory 2504. The functions, acts or tasks are independent of theparticular type of instructions set, storage media, processor orprocessing strategy and may be performed by software, hardware,integrated circuits, firm-ware, micro-code and the like, operating aloneor in combination. Likewise, processing strategies may includemultiprocessing, multitasking, parallel processing and the like.

As shown, the computer system 2500 may further include a display unit2514, such as a liquid crystal display (LCD), an organic light emittingdiode (OLED), a flat panel display, a solid state display, a cathode raytube (CRT), a projector, a printer or other now known or later developeddisplay device for outputting determined information. The display 2514may act as an interface for the user to see the functioning of theprocessor 2502, or specifically as an interface with the software storedin the memory 2504 or in the drive unit 2506.

Additionally, the computer system 2500 may include an input device 2516configured to allow a user to interact with any of the components ofsystem 2500. The input device 2516 may be a number pad, a keyboard, or acursor control device, such as a mouse, or a joystick, touch screendisplay, remote control or any other device operative to interact withthe system 2500.

In a particular embodiment, as depicted in FIG. 25, the computer system2500 may also include a disk or optical drive unit 2506. The disk driveunit 2506 may include a computer-readable medium 2510 in which one ormore sets of instructions 2512, e.g. software, can be embedded. Further,the instructions 2512 may embody one or more of the methods or logic asdescribed herein. In a particular embodiment, the instructions 2512 mayreside completely, or at least partially, within the memory 2504 and/orwithin the processor 2502 during execution by the computer system 2500.The memory 2504 and the processor 2502 also may includecomputer-readable media as discussed above.

The present disclosure contemplates a computer-readable medium thatincludes instructions 2512 or receives and executes instructions 2512responsive to a propagated signal, so that a device connected to anetwork 2520 can communicate voice, video, audio, images or any otherdata over the network 2520. Further, the instructions 2512 may betransmitted or received over the network 2520 via a communicationinterface 2518. The communication interface 2518 may be a part of theprocessor 2502 or may be a separate component. The communicationinterface 2518 may be created in software or may be a physicalconnection in hardware. The communication interface 2518 is configuredto connect with a network 2520, external media, the display 2514, or anyother components in system 2500, or combinations thereof. The connectionwith the network 2520 may be a physical connection, such as a wiredEthernet connection or may be established wirelessly as discussed below.Likewise, the additional connections with other components of the system2500 may be physical connections or may be established wirelessly.

The network 2520 may include wired networks, wireless networks, orcombinations thereof. The wireless network may be a cellular telephonenetwork, an 802.11, 802.16, 802.20, or WiMax network. Further, thenetwork 2520 may be a public network, such as the Internet, a privatenetwork, such as an intranet, or combinations thereof, and may utilize avariety of networking protocols now available or later developedincluding, but not limited to TCP/IP based networking protocols.

Embodiments of the subject matter and the functional operationsdescribed in this specification can be implemented in digital electroniccircuitry, or in computer software, firmware, or hardware, including thestructures disclosed in this specification and their structuralequivalents, or in combinations of one or more of them. Embodiments ofthe subject matter described in this specification can be implemented asone or more computer program products, i.e., one or more modules ofcomputer program instructions encoded on a computer readable medium forexecution by, or to control the operation of, data processing apparatus.While the computer-readable medium is shown to be a single medium, theterm “computer-readable medium” includes a single medium or multiplemedia, such as a centralized or distributed database, and/or associatedcaches and servers that store one or more sets of instructions. The term“computer-readable medium” shall also include any medium that is capableof storing, encoding or carrying a set of instructions for execution bya processor or that cause a computer system to perform any one or moreof the methods or operations disclosed herein. The computer readablemedium can be a machine-readable storage device, a machine-readablestorage substrate, a memory device, or a combination of one or more ofthem. The term “data processing apparatus” encompasses all apparatus,devices, and machines for processing data, including by way of example aprogrammable processor, a computer, or multiple processors or computers.The apparatus can include, in addition to hardware, code that creates anexecution environment for the computer program in question, e.g., codethat constitutes processor firmware, a protocol stack, a databasemanagement system, an operating system, or a combination of one or moreof them.

In a particular non-limiting, exemplary embodiment, thecomputer-readable medium can include a solid-state memory such as amemory card or other package that houses one or more non-volatileread-only memories. Further, the computer-readable medium can be arandom access memory or other volatile re-writable memory. Additionally,the computer-readable medium can include a magneto-optical or opticalmedium, such as a disk or tapes or other storage device to capturecarrier wave signals such as a signal communicated over a transmissionmedium. A digital file attachment to an e-mail or other self-containedinformation archive or set of archives may be considered a distributionmedium that is a tangible storage medium. Accordingly, the disclosure isconsidered to include any one or more of a computer-readable medium or adistribution medium and other equivalents and successor media, in whichdata or instructions may be stored.

In an alternative embodiment, dedicated hardware implementations, suchas application specific integrated circuits, programmable logic arraysand other hardware devices, can be constructed to implement one or moreof the methods described herein. Applications that may include theapparatus and systems of various embodiments can broadly include avariety of electronic and computer systems. One or more embodimentsdescribed herein may implement functions using two or more specificinterconnected hardware modules or devices with related control and datasignals that can be communicated between and through the modules, or asportions of an application-specific integrated circuit. Accordingly, thepresent system encompasses software, firmware, and hardwareimplementations.

In accordance with various embodiments of the present disclosure, themethods described herein may be implemented by software programsexecutable by a computer system. Further, in an exemplary, non-limitedembodiment, implementations can include distributed processing,component/object distributed processing, and parallel processing.Alternatively, virtual computer system processing can be constructed toimplement one or more of the methods or functionality as describedherein.

Although the present specification describes components and functionsthat may be implemented in particular embodiments with reference toparticular standards and protocols, the invention is not limited to suchstandards and protocols. For example, standards for Internet and otherpacket switched network transmission (e.g., TCP/IP, UDP/IP, HTML, HTTP,HTTPS) represent examples of the state of the art. Such standards areperiodically superseded by faster or more efficient equivalents havingessentially the same functions. Accordingly, replacement standards andprotocols having the same or similar functions as those disclosed hereinare considered equivalents thereof.

A computer program (also known as a program, software, softwareapplication, script, or code) can be written in any form of programminglanguage, including compiled or interpreted languages, and it can bedeployed in any form, including as a standalone program or as a module,component, subroutine, or other unit suitable for use in a computingenvironment. A computer program does not necessarily correspond to afile in a file system. A program can be stored in a portion of a filethat holds other programs or data (e.g., one or more scripts stored in amarkup language document), in a single file dedicated to the program inquestion, or in multiple coordinated files (e.g., files that store oneor more modules, sub programs, or portions of code). A computer programcan be deployed to be executed on one computer or on multiple computersthat are located at one site or distributed across multiple sites andinterconnected by a communication network.

The processes and logic flows described in this specification can beperformed by one or more programmable processors executing one or morecomputer programs to perform functions by operating on input data andgenerating output. The processes and logic flows can also be performedby, and apparatus can also be implemented as, special purpose logiccircuitry, e.g., an FPGA (field programmable gate array) or an ASIC(application specific integrated circuit).

Processors suitable for the execution of a computer program include, byway of example, both general and special purpose microprocessors, andanyone or more processors of any kind of digital computer. Generally, aprocessor will receive instructions and data from a read only memory ora random access memory or both. The essential elements of a computer area processor for performing instructions and one or more memory devicesfor storing instructions and data. Generally, a computer will alsoinclude, or be operatively coupled to receive data from or transfer datato, or both, one or more mass storage devices for storing data, e.g.,magnetic, magneto optical disks, or optical disks. However, a computerneed not have such devices. Moreover, a computer can be embedded inanother device, e.g., a mobile telephone, a personal digital assistant(PDA), a mobile audio player, a Global Positioning System (GPS)receiver, to name just a few. Computer readable media suitable forstoring computer program instructions and data include all forms of nonvolatile memory, media and memory devices, including by way of examplesemiconductor memory devices, e.g., EPROM, EEPROM, and flash memorydevices; magnetic disks, e.g., internal hard disks or removable disks;magneto optical disks; and CD ROM and DVD-ROM disks. The processor andthe memory can be supplemented by, or incorporated in, special purposelogic circuitry.

To provide for interaction with a user, embodiments of the subjectmatter described in this specification can be implemented on a devicehaving a display, e.g., a CRT (cathode ray tube) or LCD (liquid crystaldisplay) monitor, for displaying information to the user and a keyboardand a pointing device, e.g., a mouse or a trackball, by which the usercan provide input to the computer. Other kinds of devices can be used toprovide for interaction with a user as well; for example, feedbackprovided to the user can be any form of sensory feedback, e.g., visualfeedback, auditory feedback, or tactile feedback; and input from theuser can be received in any form, including acoustic, speech, or tactileinput.

Embodiments of the subject matter described in this specification can beimplemented in a computing system that includes a back end component,e.g., as a data server, or that includes a middleware component, e.g.,an application server, or that includes a front end component, e.g., aclient computer having a graphical user interface or a Web browserthrough which a user can interact with an implementation of the subjectmatter described in this specification, or any combination of one ormore such back end, middleware, or front end components. The componentsof the system can be interconnected by any form or medium of digitaldata communication, e.g., a communication network. Examples ofcommunication networks include a local area network (“LAN”) and a widearea network (“WAN”), e.g., the Internet.

The computing system can include clients and servers. A client andserver are generally remote from each other and typically interactthrough a communication network. The relationship of client and serverarises by virtue of computer programs running on the respectivecomputers and having a client-server relationship to each other.

The illustrations of the embodiments described herein are intended toprovide a general understanding of the structure of the variousembodiments. The illustrations are not intended to serve as a completedescription of all of the elements and features of apparatus and systemsthat utilize the structures or methods described herein. Many otherembodiments may be apparent to those of skill in the art upon reviewingthe disclosure. Other embodiments may be utilized and derived from thedisclosure, such that structural and logical substitutions and changesmay be made without departing from the scope of the disclosure.Additionally, the illustrations are merely representational and may notbe drawn to scale. Certain proportions within the illustrations may beexaggerated, while other proportions may be minimized. Accordingly, thedisclosure and the figures are to be regarded as illustrative ratherthan restrictive.

While this specification contains many specifics, these should not beconstrued as limitations on the scope of the invention or of what may beclaimed, but rather as descriptions of features specific to particularembodiments of the invention. Certain features that are described inthis specification in the context of separate embodiments can also beimplemented in combination in a single embodiment. Conversely, variousfeatures that are described in the context of a single embodiment canalso be implemented in multiple embodiments separately or in anysuitable sub-combination. Moreover, although features may be describedabove as acting in certain combinations and even initially claimed assuch, one or more features from a claimed combination can in some casesbe excised from the combination, and the claimed combination may bedirected to a sub-combination or variation of a sub-combination.

Similarly, while operations are depicted in the drawings and describedherein in a particular order, this should not be understood as requiringthat such operations be performed in the particular order shown or insequential order, or that all illustrated operations be performed, toachieve desirable results. In certain circumstances, multitasking andparallel processing may be advantageous. Moreover, the separation ofvarious system components in the embodiments described above should notbe understood as requiring such separation in all embodiments, and itshould be understood that the described program components and systemscan generally be integrated together in a single software product orpackaged into multiple software products.

One or more embodiments of the disclosure may be referred to herein,individually and/or collectively, by the term “invention” merely forconvenience and without intending to voluntarily limit the scope of thisapplication to any particular invention or inventive concept. Moreover,although specific embodiments have been illustrated and describedherein, it should be appreciated that any subsequent arrangementdesigned to achieve the same or similar purpose may be substituted forthe specific embodiments shown. This disclosure is intended to cover anyand all subsequent adaptations or variations of various embodiments.Combinations of the above embodiments, and other embodiments notspecifically described herein, will be apparent to those of skill in theart upon reviewing the description.

The Abstract of the Disclosure is provided to comply with 37 C.F.R. §1.72(b) and is submitted with the understanding that it will not be usedto interpret or limit the scope or meaning of the claims. In addition,in the foregoing Detailed Description, various features may be groupedtogether or described in a single embodiment for the purpose ofstreamlining the disclosure. This disclosure is not to be interpreted asreflecting an intention that the claimed embodiments require morefeatures than are expressly recited in each claim. Rather, as thefollowing claims reflect, inventive subject matter may be directed toless than all of the features of any of the disclosed embodiments. Thus,the following claims are incorporated into the Detailed Description,with each claim standing on its own as defining separately claimedsubject matter.

It is therefore intended that the foregoing detailed description beregarded as illustrative rather than limiting, and that it be understoodthat it is the following claims, including all equivalents, that areintended to define the spirit and scope of this invention.

What is claimed is:
 1. A system for managing communication of aplurality of sequentially transmitted financial data messages to aplurality of market participants via a network, each of the plurality ofsequentially transmitted financial data messages comprising dataindicative of a change in state of an electronic marketplace for one ormore financial products, the system comprising: a first logic hardwarecomponent operative to receive preference data from at least one of theplurality of market participants and store the preference data in thememory in association with data representative of the market participantfrom which it was received, the preference data specifying one or moremodifications to be made to each of the plurality of sequentiallytransmitted financial data messages prior to transmission to theassociated market participant via the network; a second logic hardwarecomponent operative to, based on a change of state in the electronicmarketplace, generate a financial data message comprising contentrepresentative thereof; a third logic hardware component operative to,subsequent to the generation of the financial data message, receive thefinancial data message and generate, for each market participant havingpreference data stored in association therewith in the memory, amodified financial data message based on the generated financial datamessage modified in accordance with the stored associated preferencedata for the associated market participant, both the generated financialdata message and the modified financial data message comprising contentrepresentative of the change of state in the electronic marketplacewhich caused the generated financial data message to be generated, thegenerated modified financial data message being characterized by alatency as compared to the generated financial data message due to themodification thereof; and a fourth logic hardware component operative tosynchronize transmission of the modified financial message withtransmission of the unmodified generated financial message by storingthe modified financial message until the unmodified financial message isready to transmit so as to transmit, via the network, each modifiedfinancial data message to the associated market participant for whichthe modified data message was generated, substantially contemporaneouslywith transmission of the unmodified generated financial data message tothe others of the plurality of market participants who did not havepreference data stored in the memory in association therewith, all ofthe plurality of market participants thereby receiving contentrepresentative of the change of state in the electronic marketplacewhich caused the generated financial data message to be generatedunaffected by the latency between the generation of the modifiedfinancial data message and the unmodified financial data message.
 2. Asystem for managing communication of a plurality of sequentiallytransmitted financial data messages to a plurality of marketparticipants via a network, each of the plurality of sequentiallytransmitted financial data messages comprising data indicative of achange in state of an electronic marketplace for one or more financialproducts, the system comprising: a message preference hardware processoroperative to receive preference data from at least one of the pluralityof market participants and store the preference data in a memory coupledtherewith in association with data representative of the marketparticipant from which it was received, the preference data specifyingone or more modifications to be made to each of the plurality ofsequentially transmitted financial data messages prior to transmissionto the associated market participant via the network; a financial datamessage hardware generator coupled with the electronic marketplace andoperative, based on a change of state in the electronic marketplace, togenerate a financial data message comprising content representativethereof; a financial data message hardware modifier coupled with thememory and the financial data message generator and operative to,subsequent to the generation of the financial data message, receive thefinancial data message and generate, for each market participant havingpreference data stored in association therewith in the memory, amodified financial data message based on the generated financial datamessage modified in accordance with the stored associated preferencedata for the associated market participant, both the generated financialdata message and the modified financial data message comprising contentrepresentative of the change of state in the electronic marketplacewhich caused the generated financial data message to be generated, thegenerated modified financial data message being characterized by alatency as compared to the generated financial data message due to themodification thereof; and a financial data message hardware transmittercoupled with the financial data modifier and operative to synchronizetransmission of the modified financial message with transmission of theunmodified generated financial message by storing the modified financialmessage until the unmodified financial message is ready to transmit soas to transmit, via the network, each modified financial data message tothe associated market participant for which the modified data messagewas generated, substantially contemporaneously with transmission of theunmodified generated financial data message to the others of theplurality of market participants who did not have preference data storedin the memory in association therewith, all of the plurality of marketparticipants thereby receiving content representative of the change ofstate in the electronic marketplace which caused the generated financialdata message to be generated unaffected by the latency between thegeneration of the modified financial data message and the unmodifiedfinancial data message.
 3. The system of claim 2 wherein the one or morefinancial data message modifications include modifying a content, aformat, an encoding, or combination thereof, of the financial datamessage.
 4. The system of claim 2 wherein each of the plurality ofsequentially transmitted financial data messages comprises a pluralityof data fields characterized by an arrangement, the one or morefinancial data message modifications include modifying the arrangementof the data fields.
 5. The system of claim 2 further comprising aderived value generator coupled with the financial data messagegenerator and operative to derive one or more derived values from thecontent of the generated financial data message, wherein the one or morefinancial data message modifications include augmentation of thegenerated financial data message to include at least one of the derivedvalues within the content thereof.
 6. The system of claim 2 wherein thepreference data further comprises a selection of at least one predefinedset of one or more financial data message modifications from a pluralityof available sets of one or more financial data message modifications.7. The system of claim 2 wherein modified financial data messagerequires no further modification upon receipt by the associated marketparticipant.
 8. The system of claim 2 further comprising a billingprocessor coupled with the message preference processor and operative tocharge a fee to the at least one market participant.
 9. The system ofclaim 2 wherein the message preference processor further comprises aconfiguration user interface operative to allow the at least one marketparticipant to provide, modify, delete or combinations thereof, theirassociated preference data.
 10. The system of claim 2 wherein theplurality of financial data messages comprises market by order messages,market by price messages, top of book messages, or combinations thereof.11. A computer implemented method for managing communication of aplurality of sequentially transmitted financial data messages to aplurality of market participants via a network, each of the plurality ofsequentially transmitted financial data messages comprising dataindicative of a change in state of an electronic marketplace for one ormore financial products, the method comprising: receiving, by aprocessor, preference data from at least one of the plurality of marketparticipants and storing the preference data in a memory coupled withthe processor in association with data representative of the marketparticipant from which it was received, the preference data specifyingone or more modifications to be made to each of the plurality ofsequentially transmitted financial data messages prior to transmissionto the associated market participant via the network; generating, by theprocessor, based on a change of state in the electronic marketplace, afinancial data message comprising content representative thereof;receiving, by the processor, the financial data message, subsequent tothe generation thereof, and generating, for each market participanthaving preference data stored in association therewith in the memory, amodified financial data message based on the generated financial datamessage modified in accordance with the stored associated preferencedata for the associated market participant, both the generated financialdata message and the modified financial data message comprising contentrepresentative of the change of state in the electronic marketplacewhich caused the generated financial data message to be generated, thegenerated modified financial data message being characterized by alatency as compared to the generated financial data message due to themodification thereof; and synchronizing transmission of the modifiedfinancial message with transmission of the unmodified generatedfinancial message by storing the modified financial message until theunmodified financial message is ready to transmit so as to transmit, bythe processor, via the network, each modified financial data message tothe associated market participant for which the modified data messagewas generated, substantially contemporaneously with transmission of theunmodified generated financial data message to the others of theplurality of market participants who did not have preference data storedin the memory in association therewith, all of the plurality of marketparticipants thereby receiving content representative of the change ofstate in the electronic marketplace which caused the generated financialdata message to be generated unaffected by the latency between thegeneration of the modified financial data message and the unmodifiedfinancial data message.
 12. The method of claim 11 wherein the one ormore financial data message modifications include modifying a content, aformat, an encoding, or combination thereof, of the financial datamessage.
 13. The method of claim 11 wherein each of the plurality ofsequentially transmitted financial data messages comprises a pluralityof data fields characterized by an arrangement, the one or morefinancial data message modifications include modifying the arrangementof the data fields.
 14. The method of claim 11 further comprisingderiving one or more derived values from the content of the generatedfinancial data message, wherein the one or more financial data messagemodifications include augmentation of the generated financial datamessage to include at least one of the derived values within the contentthereof.
 15. The method of claim 11 wherein the preference data furthercomprises a selection of at least one predefined set of one or morefinancial data message modifications from a plurality of available setsof one or more financial data message modifications.
 16. The method ofclaim 11 wherein modified financial data message requires no furthermodification upon receipt by the associated market participant.
 17. Themethod of claim 11 further comprising charging a fee to the at least onemarket participant.
 18. The method of claim 11 further comprisingproviding a configuration user interface operative to allow the at leastone market participant to provide, modify, delete or combinationsthereof, their associated preference data.
 19. The method of claim 11wherein the plurality of financial data messages comprises market byorder messages, market by price messages, top of book messages, orcombinations thereof.
 20. A system for managing communication of aplurality of sequentially transmitted financial data messages to aplurality of market participants via a network, each of the plurality ofsequentially transmitted financial data messages comprising dataindicative of a change in state of an electronic marketplace for one ormore financial products, the system comprising: means for receivingpreference data from at least one of the plurality of marketparticipants and storing the preference data in a memory coupled withthe processor in association with data representative of the marketparticipant from which it was received, the preference data specifyingone or more modifications to be made to each of the plurality ofsequentially transmitted financial data messages prior to transmissionto the associated market participant via the network; means forgenerating based on a change of state in the electronic marketplace, afinancial data message comprising content representative thereof; meansfor, subsequent to the generation of the financial data message,receiving the financial data message and generating, for each marketparticipant having preference data stored in association therewith inthe memory, a modified financial data message based on the generatedfinancial data message modified in accordance with the stored associatedpreference data for the associated market participant, both thegenerated financial data message and the modified financial data messagecomprising content representative of the change of state in theelectronic marketplace which caused the generated financial data messageto be generated, the generated modified financial data message beingcharacterized by a latency as compared to the generated financial datamessage due to the modification thereof; and means for synchronizingtransmission of the modified financial message with transmission of theunmodified generated financial message by storing the modified financialmessage until the unmodified financial message is ready to transmit soas to transmit, via the network, each modified financial data message tothe associated market participant for which the modified data messagewas generated, substantially contemporaneously with transmission of theunmodified generated financial data message to the others of theplurality of market participants who did not have preference data storedin the memory in association therewith, all of the plurality of marketparticipants thereby receiving content representative of the change ofstate in the electronic marketplace which caused the generated financialdata message to be generated unaffected by the latency between thegeneration of the modified financial data message and the unmodifiedfinancial data message.